Highs of 44 Celsius have been recorded in places such as Italy and Albania.
Many countries have issued health warnings advising people to stay indoors and drink plenty of water.
The baking heat in one of the worst affected countries, Italy, has led to forest fires and has left some regions experiencing drought.
Rome, for example had a high of 43C which is 10C higher than the average for this time of the year.
What does Celsius mean?
Celsius is a unit of measurement used to measure temperature in the UK, a bit like a centimetre is a unit used to measure size. Water freezes at 0C and boils at 100C
Many people have been taken to hospital with heat related illnesses from the extreme weather.
Even countries in Northern Europe like Poland have been feeling the heat.
Experts think the high temperatures will last  at least until Monday.
Areas in Europe have been experiencing their most extreme temperatures in 10 years.