This review comprehensively examines scientific literature pertaining to human physiology during exercise, including mechanisms of heat formation and dissipation, heat stress on the body, the importance of skin temperature monitoring, the effects of clothing, and microclimatic measurements. This provides a critical foundation for microclimatologists and biometeorologists in the understanding of experiments involving human physiology. The importance of the psychological aspects of how an individual perceives an outdoor environment are also reviewed, emphasizing many factors that can indirectly affect thermal comfort (TC). Past and current efforts to develop accurate human comfort models are described, as well as how these models can be used to develop resilient and comfortable outdoor spaces for physical activity. Lack of suitable spaces plays a large role in the deterioration of human health due to physical inactivity, leading to higher rates of illness, heart disease, obesity and heat-related casualties. This trend will continue if urban designers do not make use of current knowledge of bioclimatic urban design, which must be synthesized with physiology, psychology and microclimatology. Increased research is required for furthering our knowledge on the outdoor human energy balance concept and bioclimatic design for health and well-being in urban areas.