In urban environments, green spaces have proven to act as ameliorating factors of some climatic features related to heat stress, reducing their effects and providing comfortable outdoor settings for people. In addition, green spaces have demonstrated greater capacity, compared with built-up areas, for promoting human health and well-being. In this paper, we present results of a study conducted in Italy with the general goal to contribute to the theoretical and empirical rationale for linking green spaces with well-being in urban environments. Specifically, the study focused on the physical and psychological benefits and the general well-being associated with the use of green spaces on people when heat stress episodes are more likely to occur. A questionnaire was set up and administered to users of selected green spaces in Italy (metropolitan area of Milan and Bari - n=400). Results indicate that longer and frequent visits of green spaces generate significant improvements of the perceived benefits and well-being among users. These results are consistent with the idea that the use of green spaces could alleviate the perception of thermal discomfort during periods of heat stress.