Heatwave warning systems rely on forecasts made for fixed-point weather stations (WS), which do not reflect variation in temperature and humidity experienced by individuals moving through indoor and outdoor locations. We examined whether neighborhood measurement improved the prediction of individually experienced heat index in addition to nearest WS in an urban and rural location. Participants (residents of Birmingham, Alabama [N = 89] and Wilcox County, Alabama [N = 88]) wore thermometers clipped to their shoe for 7 days. Shielded thermometers/hygrometers were placed outdoors within participant's neighborhoods (N = 43). Nearest WS and neighborhood thermometers were matched to participant's home address. Heat index (HI) was estimated from participant thermometer temperature and WS humidity per person-hour (HI[individual]), or WS temperature and humidity, or neighborhood temperature and humidity. We found that neighborhood HI improved the prediction of individually experienced HI in addition to WS HI in the rural location, and neighborhood heat index alone served as a better predictor in the urban location, after accounting for individual-level factors. Overall, a 1 °C increase in HI[neighborhood] was associated with 0.20 °C [95% CI (0.19, 0.21)] increase in HI[individual]. After adjusting for ambient condition differences, we found higher HI[individual] in the rural location, and increased HI[individual] during non-rest time (5 a.m. to midnight) and on weekdays.