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The assessment of the risk of human exposure to heat is a topic as relevant today as a century ago. The introduction and use of heat stress indices and models to predict and quantify heat stress and heat strain has helped to reduce morbidity and mortality in industrial, military, sports, and leisure activities dramatically. Models used range from simple instruments that attempt to mimic the human-environment heat exchange to complex thermophysiological models that simulate both internal and external heat and mass transfer, including related processes through (protective) clothing. This article discusses the most commonly used indices and models and looks at how these are deployed in the different contexts of industrial, military, and biometeorological applications, with focus on use to predict related thermal sensations, acute risk of heat illness, and epidemiological analysis of morbidity and mortality. A critical assessment is made of tendencies to use simple indices such as WBGT in more complex conditions (e.g., while wearing protective clothing), or when employed in conjunction with inappropriate sensors. Regarding the more complex thermophysiological models, the article discusses more recent developments including model individualization approaches and advanced systems that combine simulation models with (body worn) sensors to provide real-time risk assessment. The models discussed in the article range from historical indices to recent developments in using thermophysiological models in (bio) meteorological applications as an indicator of the combined effect of outdoor weather settings on humans.