During the last decades the effects of thermal stress on public health have been a great concern worldwide. Thermal stress is determined by air temperature in combination with other meteorological parameters, such as relative humidity and wind speed. The present study is focused on the Mediterranean city of Thessaloniki, Greece and it aims to explore the association between thermal stress and mortality from cardiovascular diseases, using both air temperature and other thermal indices as indicators. For that, an over-dispersed Poisson regression function was used, in combination with distributed lag non-linear models, in order to capture the delayed and nonlinear effects of temperature. Our results revealed a reverse J-shaped exposure-response curve for the total population and females and a U-shaped association for males. In all cases examined, the minimum mortality temperature was identified around the 80th percentile of each distribution. It is noteworthy that despite the fact that the highest risks of cardiovascular mortality were estimated for exposure to extreme temperatures, moderate temperatures were found to cause the highest burden of mortality. On the whole, our estimations demonstrated that the population in Thessaloniki is more susceptible to cold effects and in regard with gender, females seem to be more vulnerable to ambient thermal conditions.