Recently, the necessity of exploring the relationship between sleep quality and the thermal environment has amplified regarding increasing heat stress risk on the human body due to climate change, particularly in vulnerable-uninsulated buildings of Ankara. Within this scope, this study investigated occupants’ sleep quality and thermal comfort in insulated and uninsulated buildings under three local extreme heat event thresholds: (1) typical summer day (TSD25), (2) very hot day (VHD33), and lastly, (3) heat wave event (HWE31). Within a two-tiered approach to thermal comfort evaluations, the physiological thermal comfort of occupants was identified through the calculation of Physiologically Equivalent Temperature (PET) from the climatic data of local meteorological stations. On the other hand, the psychological thermal comfort and sleep quality of participants were evaluated by questionnaires during each heat event. The results of this study demonstrated that PETOut reached 43.5 °C, which indicates the extreme heat stress within PS grades during the VHD33s. The PET values were consistently higher in uninsulated buildings than in insulated buildings. Also, most of the mean psychological thermal comfort votes (TCVs) and sleep quality votes (SQVs) were better in uninsulated buildings than in insulated ones during TSD25 and HWE31s, while it was the opposite within extreme conditions of VHD33s. The outputs of this study contribute to interdisciplinary efforts to attenuate the existing and impending risks of climate change on human life by defining the influence of increasing outdoor heat stress on indoor spaces, thermal comfort, and the sleep quality of occupants.