Cities today encounter significant challenges pertaining to urbanization and population growth, resource availability, and climate change. Concurrently, unparalleled datasets are generated through Internet of Things (IoT) sensing implemented at urban, building, and personal scales that serve as a potential tool for understanding and overcoming these issues. Focusing on air pollution and thermal exposure challenges in cities, we reviewed and summarized the literature on IoT environmental sensing on urban, building, and human scales, presenting the first integrated assessment of IoT solutions from the data convergence perspective on all three scales. We identified that there is a lack of guidance on what to measure, where to measure, how frequently to measure, and standards for the acceptable measurement quality on all scales of application. The current literature review identified a significant disconnect between applications on each scale. Currently, the research primarily considers urban, building, and personal scale in isolation, leading to significant data underutilization. We addressed the scientific and technological challenges and opportunities related to data convergence across scales and detailed future directions of IoT sensing along with short- and long-term research and engineering needs. IoT application on a personal scale and integration of information on all scales opens up the possibility of developing personal thermal comfort and exposure models. The development of personal models is a vital promising area that offers significant advancements in understanding the relationship between environment and people that requires significant further research.