Individual actions can mitigate the consequences of extreme heat. Therefore, understanding the mechanism of protective behaviours against extreme heat is critical. Although extreme heat protective behaviours have been widely mentioned, the roles of psychological risk perception and public restraint are poorly understood. In this study, we developed a physical-measure-psychosocial model (PMP) to reveal the intrinsic motivation for protective behaviours during extreme heat based on a nationwide survey in China (n = 1791). The results showed that (1) high levels of physical risk perception promote outdoor, indoor, and traffic protective behaviours. Psychological risk perception is positively associated with outdoor and indoor protective behaviours but is not significantly associated with traffic protective behaviour. (2) There are differences in the main paths from heat exposure to outdoor, indoor, and traffic protective behaviours. The indirect effect controlled by physical risk is the main path from exposure to outdoor and traffic protective behaviours, while the direct effect of heat exposure is the strongest pathway for indoor protective behaviour. (3) Enhanced facility conditions are linked to reduced physical risk and psychological risk perception. Subsidies have a significant effect on traffic protective behaviour, and warnings significantly affect outdoor protective behaviour. The direct effect of warning systems on outdoor protective behaviour is greater than the indirect effect mediated by psychological risk perception. (4) Multigroup analysis based on structural equation models revealed a certain degree of robustness among the different gender, age, education level, and income level groups. This study enables us to understand the underlying mechanisms of extreme heat behaviours and support policy-makers in effective mitigation practices.