Most studies have explored the impact of different types of local climate zones (LCZs) on energy consumption, but few have examined climate differences within intra-local climate zones (intra-LCZs) and the impact of cold waves (CW) on energy consumption. This study conducted a 150-day long-term observation of air temperature (Ta) and relative humidity (RH) in six LCZs in Shenyang, a severe cold region, to examine climate differences within intra-LCZs and the influence of CW and the urban heat island (UHI) on energy consumption. The results show that the temperatures and heating energy consumption in 5 LCZ4s exhibited a clear gradient from the urban core to the suburbs. During CW, the differences increased, and the nighttime differences were more pronounced. CW significantly increased residential heating energy consumption, whereas the urban heat island (UHI) reduced it in urban areas. Additionally, there was a clear positive correlation between UHI and the urban-suburban energy consumption difference. Under the combined effects of CW and UHI, the average daily cumulative heating energy consumption in urban areas (CW) was much higher than in suburban areas during non-cold-wave (NCW) periods, increasing by 69.2–85.9%. This study provides empirical evidence for energy conservation and strategies for responding to extreme weather events.