Urbanisation is a significant driver of global climate change. It increases global temperatures, impacting the health of residents. To date, research on urban heat environments has focused on society or ecology, overlooking the value of integrating the two factors. The research objective is to integrate socio-ecological benefits, explore the construction methods of ecological-cooling networks, and provide reasonable guidance for urban climate planning, thus contributing to the alleviation of urban heat risks and improving thermal comfort. Using Fuzhou as an example, an environmental risk framework was used to construct an urban heat environment risk assessment strategy based on hazards (thermal comfort), exposure (human-development footprint), and vulnerability (natural geographic conditions). The source area was identified based on evaluation results, an ecological network was constructed using circuit theory, and key nodes were identified. Results showed that in 2005 and 2020, 3% and 12% of areas in Fuzhou had higher thermal environmental risks, the proportion of low-risk areas was 43% and 28%, respectively. In sum, 54 ecological source locations, 124 ecological corridors, 76 ecological pinch points, 110 obstacle points, and 12 stepping stones were identified during the construction of corridors in 2020. Compared with 2005, the source area has decreased by 1622.46 km² and the average length of the corridor has also decreased by 4.69 km.