1. Responses to cool ambient temperature were tested with reference to the sleep‐wakefulness cycle in six chronically instrumented newborn lambs which were exposed to warm (20‐25 degrees C) and cool (10‐15 degrees C) ambient temperatures (Ta) in fifteen studies. 2. We measured cardio‐respiratory variables (cardiac output, heart rate, stroke volume, arteriovenous O2 difference and O2 consumption) together with body temperature (Tb) during behavioural states of quiet wakefulness (QW), quiet sleep (QS) and rapid‐eye‐movement sleep (REM). 3. In cool Ta, significant increases (P less than 0.05) occurred in cardiac output, O2 uptake and O2 consumption in QW (10 +/‐ 3%, 23 +/‐ 4% and 35 +/‐ 6%, respectively, mean +/‐ S.E.M.) and QS (12 +/‐ 3%, 21 +/‐ 7% and 35 +/‐ 8%, respectively), but these responses were absent in REM. Increases in heart rate (6 +/‐ 2%) and stroke volume (6 +/‐ 3%) were present during QS, but not during REM. 4. In REM, Tb was dependent upon the prevailing Ta, increasing in the warm Ta and tending to decrease in the cool Ta. 5. In cool Ta, REM sleep epochs were shorter and more frequent with no changes in total REM time. These changes were not seen in QS. 6. Thus, the behavioural state determines both the thermogenic and the associated cardio‐respiratory responses to cool stress in lambs. The consequences of disrupted thermogenesis during REM sleep include dependence of Tb upon the prevailing ambient temperature, and abbreviation of the REM epoch by arousal, possibly as a defence against falls in Tb in cool Ta.