The advisory by the National Weather Service covers parts of northwest Indiana and northeast Illinois and is in effect until 8 p.m.
"Hot temperatures and high humidity may cause heat illnesses to occur," the weather service warned.
The heat index was expected to peak between 105 and 110 degrees in the afternoon, with storms forecast by the evening. Winds could gust to 70 mph with hail in some areas, the weather service said.
Chicago’s Office of Emergency Management and Communications urged residents to call 3-1-1 if they need help.
"It’s also important to check on relatives, neighbors, seniors and our vulnerable populations when temperatures climb to extreme levels," the office said in a statement.