Extreme heat poses severe health threats, as the increased numbers of hospitalizations and fatalities during heat waves show, though little is known about adaptive behavior toward heat. We conducted a household survey on individual perceptions of heat stress and individual heat protection in the summer and autumn of 2019. In total, 1417 people from three medium-sized German cities participated via telephone or online. Based on the Protective Action Decision Model (PADM), which we adapted to heat stress, we analyzed links between risk perception, environmental and demographic factors, perceptions of stakeholders, different heat warning messages, as well as actual and intended adaptive behavior. Overall, the PADM constructs explained around 16% of the variance in protection motivation, 19% in protective response, and 23% in emotion-focused coping. Context factors (i.e., temperature, risk communication, gender, age, and homeownership) were significant predictors of the addressed outcome variables as were psychological factors (i.e., perceived personal vulnerability, response efficacy, response costs, preparedness, and perceived external responsibility). We further explored the effect of different warning messages on situational knowledge and intended behavioral adaptation in an experimental setting. Results showed that respondents felt significantly better informed after receiving a warning with action recommendations and reported more intended specific behaviors. Our research gives insights into individual protective action decision-making processes. Based on our findings, we recommend tailoring risk communication strategies and combining heat warnings with action recommendations whenever possible to increase understanding and individual adaptation.