Dense urban morphologies further amplify extreme climate events due to the urban heat island phenomenon, rendering cities more vulnerable to extreme climate events. Here we develop a modelling framework using multi-scale climate and energy system models to assess the compound impact of future climate variations and urban densification on renewable energy integration for 18 European cities. We observe a marked change in wind speed and temperature due to the aforementioned compound impact, resulting in a notable increase in both peak and annual energy demand. Therefore, an additional cost of 20‒60% will be needed during the energy transition (without technology innovation in building) to guarantee climate resilience. Failure to consider extreme climate events will lower power supply reliability by up to 30%. Energy infrastructure in dense urban areas of southern Europe is more vulnerable to the compound impact, necessitating flexibility improvements at the design phase when improving renewable penetration levels.