Urban heat islands (UHIs) have a significant and negative impact on the urban ecological environment and on human health, and it is imperative to examine factors that lead to UHIs. Although numerous studies have been conducted in this field, little research has considered seasonal variations in UHIs in coastal cities. Moreover, parametric statistical analyses, such as regression and correlation analyses, have been typically applied to examine the influential factors. Such analyses are flawed because they cannot uncover the complicated relationships between UHIs and their factors. Taking Dalian, a coastal city in China, as an example, this paper reveals the dynamic mechanism of the UHI effect for different seasons using the cubist regression tree algorithm. Analyses suggest that the UHI effect only exists in spring and summer, and no obvious UHIs can be found in autumn and winter. The adjacency to the sea leads to moderate UHI effects in spring and summer and no UHI or urban cooling island (UCI) effects in autumn and winter. The distance to the coastline, however, does not play a role in the UHI effect. Furthermore, as one of the most important factors, the vegetation coverage plays a significant role in the UHI effect in spring and summer and significantly mediates the UHI in autumn and winter. Comparatively, the elevation (e.g., digital elevation models (DEMs)) is consistently negatively associated with the land surface temperature in all seasons, although a stronger relationship was found in spring and summer. In addition, the surface slope is also a significant factor in spring and winter, and the population density impacts the UHI distribution in summer as well.