In mammals, thermoregulation is a key feature in the maintenance of homeostasis. Thermoregulatory capacities are strongly related to energy balance and animals are constantly seeking to limit the energy costs of normothermia. In case of thermal changes, physiological mechanisms are enhanced, increasing rates of energy expenditure. However, behavioral adjustments are available for species to lower the autonomic work, and thus reduce the energy costs of thermoregulatory responses. Hence, thermogenesis-induced metabolic costs can be reduced during cold exposure, and hyperthermia associated to dehydration can be avoided during heat exposure. Hypothermia avoidance consists in a concomitant decrease in heat dissipation and increase in heat production. Inversely, heat exchange is enhanced and body heat production is reduced when avoiding hyperthermia. The different behavioral strategies available for mammal species to cope with both decreased and increased levels of ambient temperature are reviewed. Moreover, thermoregulation function is under the control of central, metabolic, energetic and endocrine systems, which induces that parameters such as hour of the day, season, gender or aging may affect thermoregulatory adjustments. Some examples will be given.