This study aims to investigate the effect of wind direction (WD) on thermal and wind sensations, reconsider WS benchmarks, and propose modifications on physiological equivalent temperature (PET) and universal thermal climate index (UTCI) indices to reflect the effects of WD. A total of 1008 interviews were conducted outdoors with concurrent micrometeorological measurements in Tehran, Iran, comparing the preferred, neutral, neutral range, and acceptable ranges of UTCI and PET for subjects exposed to leeward and windward wind directions. The results indicated a deviation of 4.6 °C in neutral PET (nPET) and 4 °C in neutral UTCI (nUTCI) between windward and leeward wind directions. Additionally, the results showed that the subjects undergoing leeward wind direction revealed lower sensitivity to wind speed (WS), PET, and UTCI variations, and showed lower neutral and preferred temperatures/WS, and felt thermally acceptable in a wider gap. The results also disclosed that conducting the surveys neglecting the effects of WD may lead to a complete misunderstanding of the climate. Also, the empirical WS benchmarks were determined using techniques regularly used for thermal analysis. These benchmarks were specified separately for windward and leeward wind directions, knowledge of which may be useful in the planning and design of outdoor environments.