This research proposes a collection of urban heat island (UHI) risk indicators under four UHI risk components: hazard, exposure, sensitivity, and adaptive capacity. There are 46 UHI risk indicators linked to three pillars of sustainability: social equity, economic viability, and environmental protection. In this study, the UHI risk indicators were first validated by experts to determine their relevancy and subsequently applied to randomly sampled dwellers of Thailand’s capital Bangkok. The UHI indicators were further validated with confirmatory factor analysis to determine the factor loadings (0–1) and reliability. Under the hazard component, the percentage of days when the daily minimum temperature is less than the 10th percentile exhibited the highest indicator-level factor loading (0.915). Vehicular traffic was the UHI exposure indicator with the highest factor loading (0.923), and the proportion of green space to build environment was the UHI sensitivity indicator with the highest factor loading (0.910). For the UHI adaptive capacity component, the highest factor loading (0.910) belonged to government policy and action. To effectively mitigate UHI impacts, greater emphasis should be placed on the indicators with highest factor loadings. Essentially, this research is the first to use statistical structural equation modeling to validate UHI indicators.