Shading is shown to be one of the most effective strategies to mitigate urban heat stress, especially on a small scale. This paper presents an empirical study investigating the effectiveness of different means of shading—by sun sails and trees—to improve the local thermal environment during the summer. Three different urban settings were investigated through detailed human-biometeorological measurements in the Hungarian city of Pécs. Our study employed the accurate six-directional radiation measurement technique, and calculated Physiological Equivalent Temperature (PET) from the obtained data to assess outdoor thermal conditions. Our results indicate that in open urban squares trees can mitigate heat stress more effectively than low-hanging sun sails, installed right above the head of pedestrians. In the period of 9:00–16:00, the average PET reduction by trees and low sun sails was 9.0 °C and 5.8 °C, respectively. Sun sails, installed at higher elevation to shade an entire street canyon, and mature trees with dense canopy had more pronounced heat stress reduction ability, and were able to reduce the local PET by over 10 °C. Our study demonstrates the importance of detailed small-scale field measurements, the outcomes of which can be incorporated into climate-responsive urban design strategies with ease.