We investigate the trend of heat waves in four different locations in Europe. In particular, we employ a flexible semiparametric nonlinear model to detect possible accelerations in the phenomenon’s growth. Heat waves are expected to increase in frequency and intensity globally, but the geographical heterogeneity is substantial, thus making local analysis relevant. Our results confirm the expectations in that we detect a significant nonlinear increase in the frequency of heat waves; on the other hand, the intensity appears constant.