This paper explored the formation mechanisms of the amplified canopy urban heat island intensity (ΔCUHII) during heat wave (HW) periods in the megacity of Beijing from the perspectives of mountain–valley breeze and urban morphology. During the mountain breeze phase, high-rise buildings with lower sky view factors (SVFs) had a pronounced effect on the ΔCUHII. During the valley breeze phase, high-rise buildings exerted a dual influence on the ΔCUHII.