Internal migration from rural to urban areas is prevalent in China. Past studies demonstrated that thermal adaptation differed among people from various climate regions. However, the outdoor thermal comfort of exercising people with a diverse climatic background remains largely unexplored. This study examines the relationship between short-term physiological and psychological thermal adaptation and outdoor thermal comfort of exercising people from different climate zones in China. We recruited first-year students (n = 145) who engaged in outdoor training between 3 and September 14, 2018 in Guangzhou, China. Physiological parameters include heart rate (HR) from fitness trackers and skin temperature (Tskin) from iButtons. These students were surveyed regarding their thermal comfort and psychological state over the study period (n = 968). Physiological Equivalent Temperature (PET) was calculated from weather station data at the training sites. T-tests reveal differences in HR and thermal perception between local and non-local students, but not Tskin. Under similar PET conditions, non-local students reported a higher thermal sensation and greater thermal discomfort than local students during the first week of training. Logistic regression indicates that HR and metabolic rate predict the thermal sensation of non-local students, but not local students. Wind sensation, pleasantness level, fatigue, and perceived suitability for outdoor activities are significant predictors of local and non-local students' thermal comfort. Our research highlights both physiological and psychological factors (including emotion and fatigue) are necessary to understand acclimatized and non-acclimatized people's thermal perception. Addressing thermal discomfort at an early stage can prevent more severe heat-related illnesses.