The impact that climate change and urbanization are having on the thermal-energy balance of the built environment is a major environmental concern today. Urban heat island (UHI) is another phenomenon that can raise the temperature in cities. This study aims to examine the UHI magnitude and its association with the main meteorological parameters (i.e., temperature, wind speed, and wind direction) in Dubai, United Arab Emirates. Five years of hourly weather data (2014–2018) obtained from weather stations located in an urban, suburban, and rural area, were post-processed by means of a clustering technique. Six clusters characterized by different ranges of wind directions were analyzed. The analysis reveals that UHI is affected by the synoptic weather conditions (i.e., sea breeze and hot air coming from the desert) and is larger at night. In the urban area, air temperature and night-time UHI intensity, averaged on the five year period, are 1.3 °C and 3.3 °C higher with respect to the rural area, respectively, and the UHI and air temperature are independent of each other only when the wind comes from the desert. A negative and inverse correlation was found between the UHI and wind speed for all the wind directions, except for the northern wind where no correlation was observed. In the suburban area, the UHI and both temperatures and wind speed ranged between the strong and a weak negative correlation considering all the wind directions, while a strong negative correlation was observed in the rural area. This paper concludes that UHI intensity is strongly associated with local climatic parameters and to the changes in wind direction.