Background: Extreme heat and heat illness are becoming very frequent in India. We aimed to identify the factors associated with heat illness and the coping practices among city dwellers of Odisha, India during the summer. Methods: A cross-sectional study included 766 households (HHs) in twin cities of Odisha covering a population of 1099 (slum: 404 and non-slum: 695) in the year 2017. We collected information on sociodemographic, household characteristics, coping practices to heat and the heat illness history reported during the summer. Multivariate logistic regression accounting for clustering effects at the household and slum levels was used to identify the associated factors of heat illness after adjustment of other variables. Result: Nearly, 49% of the study participants were female and the mean age was 38.36 years (95% confidence interval (CI): 37.33–39.39 years). A significant difference of living environment was seen across the groups. More than two-thirds of the study participants at least once had heat illness. In the non-slum population, males (adjusted odds ratio (aOR): 3.56; 95% CI: 2.39–5.29), persons under medication (aOR: 3.09; 95% CI: 1.15–8.29), and chronic conditions had higher association with heat illness. Whereas, in the slum population, having a kitchen outside the home (aOR: 1.63; 95% CI: 1.02–3.96) and persons with chronic conditions were positively associated with heat illness. Use of cooling practices in slum areas reduced the risk of heat illness by 60%. Conclusion: Heat illness is associated with the living environment and physical health of the individuals. Identifying the vulnerable population and scaling up adaptive practices can strengthen the public health preparedness.