Heat stress is expected to intensify, since temperatures are projected to increase during the 21st century. We investigate the assumed co-occurrence of annual extremes of temperature and one heat stress metric and assess the effect of relative humidity variations on the heat stress changes. We show in CMIP5 simulations that both extremes tend to co-occur in Europe and northern America, when the conditions are the hottest and the driest. However, extreme seasons occur later for heat stress than temperature by up to 2 months within the tropics. By 2100, models project a drying that hampers the increase in heat stress extremes. Within northeastern Africa, the slight projected wettening enhances the warming effect on the heat stress changes and induces the maximum heat stress intensification. Models are generally able to represent the phasing of both extremes compared to observations, with large uncertainties over regions experiencing the greatest future heat stress intensification.