Yeah, it the desert, shade works. In humid areas, not so much.
In the Arizona desert, your perspiration will evaporate, creating a mini-cooling system for your body.
I used to be a long-distance runner and I could run in the heat of Arizona because of this process.
But in Florida, I would run and perspire and I would only get hotter because the air was too humid for it to evaporate and naturally cool me.
I'm retired now and I only walk instead of run. It is still difficult to tolerate the heat and humidity on my morning walk.
My cattle farm requires my wife and I to be out in the heat most of the day. But we are forced to come inside every so often so we can cool off and recover some. Otherwise, it would be impossible to stay outdoors continually all day.