Global warming and increasing heatwaves elevate the risk of exertional heat illnesses, particularly heatstroke, in endurance athletes and outdoor workers. This study developed and validated a wearable heatstroke warning system integrating physiological and environmental monitoring with a real-time web dashboard. The wrist- and finger-worn prototype comprised an ESP32 microcontroller and heart rate (MAX30101), skin temperature (MAX30205), ambient temperature and humidity (SHT31), and galvanic skin response (Grove-GSR v1.2) sensors with dual acoustic–visual alerts and WiFi transmission. Fifteen triathletes (18–39 years) completed 30 min of cycling in a climatic chamber: 0–15 min at 24 ± 1 °C, 70 ± 10% RH, and 16–30 min at 27 ± 1 °C, 90 ± 10% RH, with the workload rising from 40%HRmax by 10% every 10 min. Heart rate, estimated core temperature, ambient temperature, relative humidity, and GSR were recorded every 30 s and compared with standard devices using Spearman correlation (p = 0.01) and Wilcoxon signed-rank tests (p < 0.05). Heart rate, skin temperature (used a linear model to calculate core body temperature), ambient temperature, and humidity sensors showed fair–very good validity (r = 0.692, 0.995, 0.994, 0.952), while GSR was low (r = 0.298). No significant differences were observed for heart rate, skin temperature, and humidity (p > 0.05), but body temperature (p = 0.003) and GSR (p < 0.001) differed. The system showed promising validity for real-time heatstroke risk monitoring, with further refinement needed for skin temperature and GSR sensing.