Urban heat island (UHI) is one of the most important characteristics of urban climate and urban atmospheric environment. UHI develops with multi-time-scale structures and localizations. Wavelet Analysis can be used to study its structures in detail and developments with time. The UHI records of Shanghai in1999 are studied and calculated with the Wavelet Transformation in this paper. The results are as follows: 1.Strengthening and weakening of UHI correspond with the absolute value of wavelet amplitude and the density of wavelet amplitude isolines. Positive wavelet amplitude means strengthening of UHI, with negative one corresponding to weakening of UHI. The denser wavelet amplitude isolines are, the more intensive oscillation of UHI is, as well as corresponding with UHI intensity. 2. On some time-scale the density of wavelet amplitude isolines can be used to forecast variations of UHI intensity during a certain period. 3. Zero values of wavelet transformation coefficients are inflexions of UHI variations, where UHI varies intensively. This discrimination is of strict contents mathematically. 4. As time scales of UHI in Shanghai are concerned, in winter time scale is single with 21-hour time-scale significantly. 21-hour low-frequency wave develops intensively with positive-negative oscillations. By contrast, high-frequency wave is relatively weak under 16 hours, whose rules of variations are not apparent. In summer, 15-hour-upward variable period dominates the time-scale structure with more complex pattern. Especially, 21-hour low-frequency wave develops intensively with positive-negative oscillations in some periods. However, high-frequency wave has relatively weak oscillations under 15 hours. 5. Wind speed, dry island and wet island correspond with UHI non-linearly. 6. Occurrence frequency of UHI through the whole year is over 85 %. The diurnal variations can be clustered into two main categories, type A and type B. The former often occurs in spring and summer with a narrow range of weak intensity while the latter mostly occurs in autumn and winter with a great range of strong intensity.