Outdoor recreational spaces play an essential role in supporting both physical activity and psychological well-being, making thermal comfort and thermal pleasure critical aspects of outdoor experience. During hot summer conditions, shaded environments are often preferred because they moderate surface temperatures and provide more favorable microclimates. This study conducted walking experiments in elevated passages and tree-shaded areas to explore how thermal comfort and thermal pleasure vary with microclimatic conditions and activity intensity. Results indicate that tree canopies reduced mean radiant temperature by about 3 °C and wind speed by nearly 1 m/s compared with elevated passages. Across all scenarios, the lowest thermal comfort and pleasure levels were observed at a walking speed of 1.80 m/s. Findings further reveal that thermal pleasure is influenced not only by measurable environmental factors and physiological heat balance but also by psychological expectations, reflecting the interplay of metabolic heat production, external climate, and subjective perception. These outcomes highlight the necessity of integrating both physiological and psychological dimensions into thermal comfort models. By linking objective indicators with subjective thermal pleasure, this work provides insights for refining outdoor comfort evaluation and informs urban planning strategies aimed at designing shaded, enjoyable, and thermally responsive outdoor environments.