One-size-fits-all approach is common in climate-sensitive urban design due to neglecting spatial heterogeneities in urban form and urban climate. This study explores a spatially-varied climate-sensitive urban design based on the Guangdong-Hong Kong-Macau Greater Bay Area (GBA). Three thermal indices, the Wet Bulb Globe Temperature (WBGT), the Apparent Temperature (AT), and the Universal Thermal Climate Index (UTCI) are used to assess the outdoor thermal environments. The local climate zone (LCZ) classification system is used to map urban form including built and land-cover types. Moreover, incorporating spatial effects, geographically weighted regression (GWR) models are used to account for spatially-varied thermal variations due to urban form changes. Our findings indicate that the large low-rise type (LCZ 8) needs more attention in built-up planning for thermal mitigation, and urban low plants type (LCZ D) should be a more effective nature-based climate mitigation strategy compared with the water bodies (LCZ G). The GWR results show a stronger consistency between UTCI and LCZ 8 and LCZ D, compared with WBGT and AT. UTCI is thus suggested for application in future urban climate studies. More importantly, the spatially-varied relationship between UTCI and urban form specifies the strategies and appropriate locations for thermal mitigation in climate-sensitive urban design.