Yawning appears to be involved in arousal, state change, and activity across vertebrates. Recent research suggests that yawning may support effective changes in mental state or vigilance through cerebral cooling. To further investigate the relationship between yawning, state change, and thermoregulation, 12 Sprague–Dawley rats (Rattus norvegicus) were exposed to a total of 2 h of ambient temperature manipulation over a period of 48 h. Using a repeated measures design, each rat experienced a range of increasing (22°C → 32°C), decreasing (32°C → 22°C), and constant temperatures (22°C; 32°C). Yawning and locomotor activity occurred most frequently during initial changes in temperature, irrespective of direction, compared to more extended periods of temperature manipulation. The rate of yawning also diminished during constant high temperatures (32°C) compared to low temperatures (22°C). Unlike yawning, however, stretching was unaffected by ambient temperature variation. These findings are compared to recent work on budgerigars (Melopsittacus undulatus), and the ecological selective pressures for yawning in challenging thermal environments are discussed. The results support previous comparative research connecting yawning with arousal and state change, and contribute to refining the predictions of the thermoregulatory hypothesis across vertebrates.