Global and local climate change increases the occurrence and the magnitude of extreme phenomena, as urban heat island and heat waves. These phenomena seriously affect the quality of life in several aspects: society, health, environment; they also heavily affect the building sector, increasing the energy use for cooling and deteriorating the indoor thermal environment. This paper utilizes data from a continuous urban microclimatic monitoring over three years to quantify the impact of heat waves on the thermal quality of two reference residential buildings in the city of Rome, Italy. The synergic effect of heat waves with the urban heat island is also analysed. The observation period includes summers of 2015, 2016 and 2017. The buildings' response is analysed through numerical thermal analyses in transient regime, taking into account several variants: thermal insulation, mechanical cooling system and thermal free-floating conditions, with different night ventilation strategies. Results show that daily average temperature and urban heat island intensity increase by up to 4.3 degrees C and 1.5 degrees C respectively during the heat waves with respect to the rest of the summer. The building cooling energy use rises up 87% during heat wave periods, while average operative temperature in free-running buildings increments by up to 3.5 degrees C. Results also show the impressive combined impact of heat wave and heat island: triplication of cooling energy use in the worst case and increase of the average operative temperature above 5 degrees C.