Urbanisation and climate change have intensified the Urban Heat Island (UHI) effect in European cities, increasing thermal stress and health risks, especially for vulnerable people. Nature-based Solutions (NbS), such as green infrastructures (GI), offer effective mitigation strategies. A notable example is the Horizon 2020 URBAN GreenUP project in Valladolid, Spain, where a green shade shelter infrastructure was installed and monitored between 2019 and 2022 to evaluate its cooling performance and its effects on temperature-based urban heat indicators through the use of Key Performance Indicators (KPIs). Local thermal conditions were monitored across two adjacent narrow streets—one with the green shade shelter and one as a control. The installation of the green shade shelter in Valladolid produced measurable thermal benefits. During summer peaks, it reduced ambient temperatures by approximately 0.9 °C, with daily maximum temperatures decreasing by 1.0–3.0 °C. In winter, daily minimum temperatures dropped by around 1.0 °C, while autumn saw an increase of 0.7 °C. Summer minimum temperatures varied, ranging from a 0.2 °C decrease in early summer to a 0.7 °C increase in late summer, with a 0.3 °C rise during peak summer in mid-July. The intervention also reduced the frequency and delayed the onset of days exceeding 35 °C and nights above 20 °C, although the delay in peak tropical nights was limited to seven days. These findings indicate that green shade shelters can contribute to improving street-level thermal conditions and reducing temperature-based heat exposure indicators in dense urban environments.