We exposed Dorper-cross ewes at ~120-135 days of gestation to a hot (40°C, 60% relative humidity) and a cold (4°C, 90% relative humidity) environment and to treadmill exercise (2.1 km/h, 5° gradient) and measured fetal lamb and ewe body temperatures using previously implanted abdominal radiotelemeters. When ewes were exposed to 2 h of heat or 30 min of exercise, body temperature rose less in the fetus than in the mother, such that the difference between fetal and maternal body temperature, on average 0.6°C before the thermal stress, fell significantly by 0.54 ± 0.06°C (SE, n = 8) during heat exposure and by 0.21 ± 0.08°C (n = 7) during exercise. During 6 h of maternal exposure to cold, temperature fell significantly less in the fetus than in the ewe, and the difference between fetal and maternal body temperature rose to 1.16 ± 0.26°C (n = 9). Thermoregulatory strategies used by the pregnant ewe for thermoregulation during heat or cold exposure appear to protect the fetus from changes in its thermal environment.