With global climate change and urbanization, nature hazards such as extreme heat, rainstorm, waterlogging, and fog and haze pollution have become much more frequent in urban areas during the past decades. As a part of the urban hazards, heat wave has been a leading cause of weather related human mortality in many countries and given rise to dramatic negative effects on the health of urban residents and the economy. Heat wave events are attracting widespread attention of the academic research community. In China, existing studies on heat waves mainly focused on the intensity, frequency, duration as well as the spatial patterns of the events and seldom explored the impacts of the heat waves on the health of vulnerable urban residents. Adverse health effects of heat waves can be avoided by identifying populations that are vulnerable to heat waves and providing targeted assistance, thus the improvement of the assessment framework and methodology for health related urban heat wave vulnerability is of great significance. This article reviews the development in research themes, assessment framework, and quantitative methods about health related urban heat wave vulnerability in China and abroad during the past decades and presents a new research framework. Most of the conventional vulnerability assessments contain the elements of exposure and sensitivity. However, in this research, adaptive capacity at both individual and community scales has been taken into account in addition to exposure and sensitivity. An index system combining environmental indicators (such as air temperature, land surface temperature, and land use), demographic indicators (such as age, gender, and education level), and socioeconomic indicators (such as household income, employment, and neighborhood stability) has been built for quantitative vulnerability assessment. Meanwhile, qualitative data from questionnaire survey and in-depth interviews are recommended to be added to the framework for first hand information of the residents and local governments. This research provides theoretical support for health related heat wave vulnerability assessment, as well as help focus attention and resources on more targeted health interventions, heat hazards mitigation, and climate change adaptation strategies.