Excessive heat and thermal discomfort are growing threats for urban dwellers, severely affecting health and well-being. The complex interplay of urban structures, microclimates, and the diverse psychophysiological responses of individuals contribute to the complexity of Outdoor Thermal Comfort (OTC) studies. Prior literature has proposed various environmental and psychophysiological (i.e., human-centered) OTC assessment models. However, observational studies are necessary to understand OTC and to refine and validate these models. Yet, no guidelines exist for OTC observational study planning, making it challenging to collect environmental and psychophysiological OTC data following standardized practices. This paper presents a systematic review that summarizes the factors and parameters found in the participant-involved OTC observational studies described in 217 papers. Their geographical context, the environmental parameters studied, the meteorological instruments used, the biometric sensors, neuropsychological assessments, and thermal, environmental, and sensory surveys used, as well as the observational study planning strategies implemented in these papers were evaluated. Most papers used thermal surveys, while only 2% used sensory surveys. This review found that studies in continental and arid climates remain limited. Additionally, most studies targeted 18 to 60-year-old participants, while only 1.3% (3 papers) and 2.7% (6 papers) focused on children and the elderly. Only 5% of the observational studies used standardized neuropsychological assessments, all conducted in the last 10 years. Furthermore, physiological sensing to access cardiovascular, neurological, and dermatological functioning was only deployed in 18% of the studies. We outline knowledge gaps, identify research opportunities, and suggest potential frameworks for future observational study planning.