Ulaanbaatar, the capital city of Mongolia, with a population of 1.1 million is located at an altitude of about 1350 m and in a valley. This study is the first to document the characteristics of the urban heat island (UHI) in Ulaanbaatar. Data from two meteorological stations, an urban site and a rural site, for the 31-year period 1980–2010 are used for UHI analysis. The average UHI intensity is 1.6°C. The UHI intensity exhibits a large seasonal dependence, being strongest in winter (3.3°C) and weakest in summer (0.3°C). The average daily maximum UHI intensity is 4.3°C. The strongest daily maximum UHI intensity occurs in winter with an average intensity of 6.4°C, and the weakest one occurs in summer with an average intensity of 2.5°C. The occurrence frequency of the daily maximum UHI intensity in the nighttime is 5.6 times that in the daytime. A multiple linear regression analysis is undertaken to examine the relative importance of meteorological parameters (previous-day maximum UHI intensity, wind speed, cloudiness, and relative humidity) that affect the daily maximum UHI intensity. The half of the variance (49.8%) is explained by the multiple linear regression model. The previous-day maximum UHI intensity is the most important parameter and is positively correlated with the daily maximum UHI intensity. Cloudiness is the second most important parameter and is negatively correlated with the daily maximum UHI intensity. When the data are classified into daytime/nighttime and season, the relative importance of the meteorological parameters changes. The most important parameter in spring and summer is cloudiness, while in autumn and winter it is the previous-day maximum UHI intensity.