When it is humid, our bodies have a tougher time cooling down.
Here is why — we get hot and we sweat. The sweat is intended to cover our skin and evaporate out into the air around us.
The evaporation process is called an endothermic process. Basically, heat is taken away from the surrounding for the evaporation process to be accomplished.
When you take the heat away for the process, you leave cooler air. This cooler air is what is intended to cool your body.
So the lower the relative humidity around you, the faster the sweat evaporates.
When it is humid like it has been lately, the evaporation rate is lowered. This prevents your body from cooling as quickly.