Rapid urbanization, escalating built-up density, and alterations in urban surface characteristics have exacerbated phenomena such as the urban heat island (UHI) and the urban pollution island (UPI). Beyond their documented impacts on air quality, thermal comfort, and public health, these phenomena can substantially influence urban energy demand through elevated cooling loads and modified electricity consumption patterns. Despite the growing body of research, a comprehensive understanding of the interplay among UHI, UPI, and energy demand remains conspicuously absent. To address this gap, the present study undertakes a systematic review of this nexus, with the objective of identifying prevailing modeling methodologies, influential components, and dominant conceptual relationships. Relevant publications were retrieved from Scopus, ScienceDirect, and Google Scholar, and following a rigorous screening process, the content of the selected studies was analyzed using MAXQDA software. A total of 4,060 coded segments were extracted and organized into ten principal codes. Subsequently, frequency analysis, author–code affiliation matrices, and co-occurrence analysis were employed to delineate the conceptual architecture of the extant literature. Findings indicate that scholarly attention has predominantly been directed toward modeling and forecasting, temperature-driven energy demand in relation to UHI, and the physical–thermal properties of urban surfaces. Conversely, indicators pertaining to UPI, urban boundary-layer dynamics, and atmospheric physicochemical processes have received comparatively limited coverage. Co-occurrence results further reveal that energy demand serves as a conceptual mediator between urban heating and air pollution. Accordingly, the development of integrated, multi-scalar frameworks capable of concurrently addressing urban climate, air quality, and energy systems emerges as an imperative direction for future research.