Heat waves (HWs) are atmospheric events of synoptic and global scale that negatively impact productive sectors and the population. This study aims to investigate HWs in the São Paulo (SP) State, Brazil, and describe their intensity, duration, spatial coverage and atmospheric characteristics. HWs were identified using observed data from 65 weather stations for the period 2000–2020. The NCEP‐DOE Reanalysis was used to determine synoptic and global scale circulation characteristics. The results showed that SP experiences different effects of thermal stress on maximum temperatures (Tmax), with the north and northwest sectors reaching the highest average values (38°C). The average temperature of HWs in the state was 34.9°C, with an average duration of 5.3 days and 92% of events taking place between 2010 and 2020. A greater number of events occurred in 2015, 2016 and 2019, mainly in the austral summer and spring. The following atmospheric characteristics were found to be associated with HWs in SP: an anomalous semistationary anticyclonic circulation at 500 hPa over the hinterland regions of Brazil, a thermal low at 1000 hPa over Paraguay, a Rossby wave train originating in the South Pacific Ocean and spreading to centre‐south Brazil, a positive sea surface temperature anomaly in the South Atlantic Ocean near the coast of Brazil and another over the South Pacific, and a negative pattern circling Antarctica. Apparently, there is a certain degree of coupling between sea surface temperature anomalies and the Rossby train, the former being the trigger of the event.