The recent European mega-heatwaves of 2003 and 2010 broke temperature records across Europe1, 2, 3, 4, 5. Although events of this magnitude were unprecedented from a historical perspective, they are expected to become common by the end of the century6, 7. However, our understanding of extreme heatwave events is limited and their representation in climate models remains imperfect8. Here we investigate the physical processes underlying recent mega-heatwaves using satellite and balloon measurements of land and atmospheric conditions from the summers of 2003 in France and 2010 in Russia, in combination with a soil–water–atmosphere model. We find that, in both events, persistent atmospheric pressure patterns induced land–atmosphere feedbacks that led to extreme temperatures. During daytime, heat was supplied by large-scale horizontal advection, warming of an increasingly desiccated land surface and enhanced entrainment of warm air into the atmospheric boundary layer. Overnight, the heat generated during the day was preserved in an anomalous kilometres-deep atmospheric layer located several hundred metres above the surface, available to re-enter the atmospheric boundary layer during the next diurnal cycle. This resulted in a progressive accumulation of heat over several days, which enhanced soil desiccation and led to further escalation in air temperatures. Our findings suggest that the extreme temperatures in mega-heatwaves can be explained by the combined multi-day memory of the land surface and the atmospheric boundary layer.