Abstract: Based on the daily observational data of air temperature and the soil temperature at a depth of 0–320 cm at the Shijiazhuang urban meteorological station and two nearby rural stations from 2009 to 2012, the urban heat island (UHI) effect from the canopy to the surface and deep layers of soil at Shijiazhuang station and its differences were compared and analyzed. The results revealed that: 1) The annual average air temperature UHI intensity from 2009 to 2012 was 0.9°C, the UHI intensity of the soil temperature at a depth of 0–320 cm was between −0.5°C and 0.2°C, and the air temperature UHI intensity was substantially stronger than that of the soil temperature. The surface (0 cm) and shallow (5–40 cm) soil temperatures exhibited a heat island effect, the deep (80–320 cm) soil temperature exhibited a cold island effect, and the soil temperature at a depth of 40–80 cm was the conversion horizon of the two. Deep soil temperature, which may be impacted by the local climate, demonstrated local characteristics. 2) The air temperature UHI intensities during spring, summer, autumn, and winter were 1.1°C, 0.6°C, 0.7°C, and 1.3°C, respectively; the seasons exhibiting the strongest and weakest UHI intensities were winter and summer, respectively. Furthermore, the soil temperatures at the surface layer and above 40 cm exhibited the heat island effect, and those below 80 cm exhibited the cold island effect. During autumn, the soil temperature at different depths exhibited the cold island effect, with the intensity of the cold island effect at a depth of 320 cm being the strongest. During winter, the soil temperatures at the surface layer and above 80 cm predominantly exhibited the heat island effect, whereas those at a depth of 320 cm exhibited the cold island effect. The seasonal variation of the soil surface UHI intensity was consistent with that of the air temperature, and its physical mechanism exhibited similar properties. 3) The air temperature UHI intensity in each month was between 0.5°C and 1.6°C, with the strongest intensity observed during January and the weakest intensity observed during July and October. The soil temperatures at the surface layer and above 40 cm generally exhibited the heat island effect from January to July and December, with the UHI intensity peaking during June, and exhibited the cold island effect from August to November. The soil temperature below 80 cm exhibited the cold island effect for the majority of the year. 4) The UHI intensities of the annual and seasonal average air temperatures clearly exhibited diurnal variation characteristics; the annual and seasonal surface soil temperatures exhibited similar characteristics. However, with the increase in soil depth, the diurnal variation of soil temperature UHI intensity gradually weakened and finally transformed into the cold island effect.