Frequent and extreme heat waves have strongly influenced the sustainable development of cities and resulted in a higher level of mortality in residents. Using the Local Climate Zone (LCZ) classification scheme, combined with the factors of land surface temperature (LST), building age (BA), and housing price (HP), and the normalized values of which represent heat exposure, sensitivity, and adaptability, respectively, this paper investigates a practical method for assessing the heat vulnerability of different LCZ classes in the old areas of a Chinese megacity, taking the Yuzhong district of Chongqing city as a case study. The results reveal that the distribution of LCZ classes in this study area exhibits a typical circle-layer distribution pattern from the city center to the suburbs. Heavy industry areas are the most vulnerable, with the highest exposure to heat waves, the oldest building age and the lowest housing price. Compact class areas (compact high-rise, compact mid-rise and compact low-rise) are usually more vulnerable than open class areas (open high-rise, open mid-rise, and open low-rise) and low-rise buildings are always more susceptible to heat waves than mid-rise and high-rise buildings. The methods and findings can help us to better understand the comprehensive and space–time action rules of heat vulnerability, thereby inspiring scientific and rational urban planning strategies to mitigate or adapt to urban heat weaves towards the sustainable development of cities and society.