The effects of different relative air humidity (RH) levels under high temperature and accompanying vapor pressure deficits (VPDs) on the physiology, photosynthesis, and anatomy of Rhododendron need to be better understood to help in reducing damage to leaves caused by high temperature. In this study, two Rhododendron cultivars were exposed at 45%, 55%, 65%, 75%, and 85% RH to a treatment of constant temperature at 38 °C for 14 days, resulting in a VPD of 3.64, 2.98, 2.32, 1.66, and 0.99 kPa, respectively. The results showed the least reduction of the net photosynthetic rate (Pn) under 75% RH treatment in R. ‘Fen Zhenzhu’ (decreased by 79.8%), and under the 85% RH treatment in R. ‘Zhuangyuan Hong’ (decreased by 75.4%). The decline in relative water content (RWC) was less under the 75% and 85% RH treatments, and electrolyte leakage showed a slight decrease under the 75% RH treatment in the two Rhododendron cultivars. The appearance of the two cultivars under greater RH showed less damage, probably because plants can avoid damage by increasing total chlorophyll content, decreasing stomatal area, stomatal density, and opened stomata ratio, enhancing enzymatic activity and osmoregulation substances, and improving leaf structure. The findings show that greater RH can alleviate damage caused by heat stress and improve thermostability.