A major heat wave broke temperature records across northwest Europe this week, triggered water shortages in the U.K. and, ironically, sent power prices plunging — even into negative territory.

Several countries in Western Europe baked under record-breaking heat this week, far earlier than normal, prompting governments to warn about health risks.

May 26 broke the record for the hottest day in May ever recorded in England and Wales, with temperatures reaching 35.1 degrees Celsius (95 degrees Fahrenheit) and 32.9 degrees Celsius (91 degrees Fahr...