This study investigated the impacts of climate change on the urban heat island (UHI) and the number of very hot (maximum temperature >35°C) and very cold days (minimum temperature <5°C) in the central business district (CBD) of Melbourne city in Australia. A station located in Laverton (less urbanised area), which is 17 km southwest of Melbourne CBD, was selected as the reference station for the computation of UHI intensity in Melbourne CBD. Using daily minimum/maximum temperatures at the two stations, nocturnal/diurnal UHI intensities in Melbourne CBD were computed for the period 1952–2010. It was found that in Melbourne CBD, nocturnal UHI intensities show a clear rising trend over the period 1952–2010 unlike the diurnal UHI intensities. For the analysis of nocturnal UHI intensities in Melbourne CBD, under changing climate, for each calendar month statistical models based on the gene expression programming (GEP) technique were developed for downscaling general‐circulation model (GCM) outputs to monthly average minimum temperature at Melbourne CBD and Laverton. Using the outputs of HadCM3, GFDL2.0 and ECHAM5 pertaining to the A2 greenhouse gas emission scenario on the downscaling models, projections of monthly average minimum temperature were produced for the two stations over the period 2000–2099. In each season, at both stations, the ensemble average of monthly minimum temperature gradually increased over the period 2000–2099. The ensemble‐average UHI intensity in Melbourne CBD projected into the future was higher for all seasons in comparison to that of period 1952–1971. Downscaling models based on the GEP technique were developed for each calendar month for projecting the number of very hot days in November–March and very cold days in May–September in Melbourne CBD. It was found that, in the future, summer weather will spread to early autumn, and winter weather will move to early spring, in Melbourne CBD.