Global warming leads to the problem of climate adaptability, which makes residents' electricity consumption behavior more sensitive to temperature. Understanding the shape of the temperature–electricity consumption response curve is helpful for planning power investment and production, and to facilitate a green and low-carbon transformation of the power system. Using data regarding electricity consumption in nearly 20,000 households from seven cities in Anhui Province, China, from 2016–2017, this study examined the response of residential electricity consumption to temperature. The results show that although residential electricity consumption was proportional to the average temperature, the variation range of the residential electricity consumption was not the same in each percentile range of temperature. In particular, under the possible influence of the electricity price and weather factor, the residential electricity consumption temperature response curve has a "V"-shape when the average temperature is over 30°C. The heterogeneity analysis shows that the temperature and electricity response curve have strong fluctuations under the change of the time-of-use (TOU) pricing policy. This implies that the price policy helps to regulate the power consumption temperature response curve and thus has an impact on the power load.