Any place that is in the shade! It’s a dry heat.
Seriously, the White Mountains and Mount Lemmon are cooler. Any part that has a higher elevation will be slightly cooler – I lived in the Catalina Foothills, where it was slightly cooler than down in Tucson proper. It had the additional advantage of being high enough that when we had severe flooding back in 1963 and 1984 we weren’t touched at all.
You may also start to do as many native Arizonans do. They get up as early as sunrise, to do gardening and outside chores, retreat into the house with A/C or a swamp cooler running to take it easy for a while, and then re-emerge as the sun sets to enjoy the cooler temps and interesting wildlife of evening.
And it could be worse – Phoenix tends to run about 10 degrees warmer than Tucson.