We characterize those Tychonoff quasi-uniform spaces $(X,\mathcal {U})$ for which the Hausdorff-Bourbaki quasi-uniformity is uniformly locally compact on the family $\mathcal {K}_{0}(X)$ of nonempty compact subsets of $X$. We deduce, among other results, that the Hausdorff-Bourbaki quasi-uniformity of the locally finite quasi-uniformity of a Tychonoff space $X$ is uniformly locally compact on $\mathcal {K}_{0}(X)$ if and only if $X$ is paracompact and locally compact. We also introduce the notion of a co-uniformly locally compact quasi-uniform space and show that a Hausdorff topological space is $\sigma $-compact if and only if its (lower) semicontinuous quasi-uniformity is co-uniformly locally compact. A characterization of those Hausdorff quasi-uniform spaces $(X,\mathcal {U})$ for which the Hausdorff-Bourbaki quasi-uniformity is co-uniformly locally compact on $\mathcal {K}_{0}(X)$ is obtained.