Surgical masks are widely used for the prevention of respiratory infections. However, the risk of heat stroke during intense work or exercise in hot and humid environments is a concern. This study aimed to examine whether wearing surgical masks increases the risk of heat stroke during mild exercise in such environments. Twelve participants conducted treadmill exercise for 30 min at 6 km/h, with 5% slope, 35°C ambient temperature, and 65% relative humidity, while wearing or not a surgical mask (mask and control trials, respectively). Rectal temperature (Trec), ear canal temperature (Tear), and mean skin temperature (mean Tskin) were assessed. Skin temperature and humidity of the perioral area of the face (Tface and RHface) were also estimated. Thermal sensation and discomfort, sensation of humidity, fatigue, and thirst were rated using the visual analogue scale. Trec, Tear, mean Tskin, and Tface increased during the exercise, without any difference between the two trials. RHface during the exercise was greater in the mask trial. The psychological ratings increased during the exercise, without any difference between the two trials. These results suggest that wearing surgical masks does not increase the risk of heat stroke during mild exercise in moist heat.