Current anthropogenic climate change is increasing the occurrence and magnitude of heatwaves causing closely interconnected and interdependent risks across multiple domains, such as environmental and human health, water and food security, etc. The following systematic literature review synthesizes the state of the art concerning risks related to heatwaves by analyzing 1459 publications. Since risks arise from the interaction of hazard, exposure, and vulnerability, publications were first classified by risk components and then further categorized by research fields: healthcare, society, ecosystem, agriculture, infrastructure, and heritage. The analysis allowed the identification of gaps in the current research with implications for policies and practical applications of risk assessments. First, only 3.1% of the revised literature integrates all three components in risk assessments. Second, most of the literature provides average risks over several heatwave events, thus neglecting critical factors like heatwave magnitude and duration. Third, the absence of standardized indices for identifying and classifying heatwaves hinders effective comparisons of results within the same field. It is recommended that future studies in the same field adopt a common methodology and that the above gaps are taken into account as this would enable building more robust and coherent scientific evidence while reducing ambiguities and uncertainties in risk estimates. Decisionmakers may otherwise struggle to develop effective heatwave adaptation and mitigation strategies if risk assessments are inconsistent or unreliable, and fail to account for risk interdependencies across different domains. More research is needed to develop quantitative frameworks that estimate heatwave risks by summing contributions from each affected domain. This is particularly important, as most of the papers reviewed only focused on healthcare (61.1%) or ecosystems (16.3%). However, we acknowledge that this literature review may have excluded some relevant studies, such as those in the heritage field, due to the specific search string applied in our methodology.