This study investigated thermal and cold stress in the southern Caspian Sea. For this purpose, climate data from 11 synoptic stations from 1993 to 2022 were analyzed using the Rayman model and the SET, PET, and PMV thermal indices. These indices were calculated based on five climatic elements: mean temperature, water vapor pressure, relative humidity, cloudiness, and wind speed. The results showed that the thermal stress conditions of the stations are significantly affected by season and geographical location. In the cold months of the year, the western stations in the region face more severe cold stress, while in the warm months, the eastern stations experience more heat stress. In particular, the PMV index showed that the Gonbad-Kavos station in the eastern Caspian may experience heat stress even in the cold months. The PET index also confirmed these regional differences, with heat stress dominating the eastern Caspian and cold stress more significant in the western Caspian. The SET index also provided similar results, with the number of stations with thermal comfort increasing in summer and extreme cold prevailing in winter. This study showed that the eastern regions of the Caspian are more sensitive to heat stress and the western regions are more prone to cold stress. These findings can be used for climate planning, improving biological conditions, managing agricultural resources, and reducing damages related to climate stress.