Cities occupy 3% of the surface of the planet, but account for 60-80% of energy consumption and 75% of carbon emissions. Likewise, buildings consume 35% of the energy and emit 38% of global greenhouse gases. Cities can aggravate such problems further by generating the phenomenon of urban heat islands (UHI). Few studies have evaluated the state of the art in UHIs' influence on buildings' energy performance, so the present research aims to analyze the main studies evaluating the thermo-energy behavior of buildings subjected to UHI. This was done with a systematic literature review and a scientific mapping of the publications present in Web of Science until 2021. 100 articles were selected for analysis in this review. The results point to an important evolution in the study of parameters affecting urban buildings' performance, in addition to the analysis of different urban land uses as a strategy to sectorize UHI. Such scientific evolution is analyzed and discussed in four-time segments. Fragmentation on building cooling loads and the energy penalty index derived from UHI are discussed, resulting in an average cooling penalty of 6.63 kWh/m2/y/degrees C and 3.81 kWh/m2/y/degrees C, for residential and office use respectively. This study presents limitations and proposes applications for the use of this index, as well as prospects for future studies and main research gaps in the area.