Mammals have evolved a range of behavioural and neurological mechanisms that coordinate cycles of thermoregulation and sleep. Whether diurnal or nocturnal, sleep onset and a reduction in core temperature occur together. Non-rapid eye movement (NREM) sleep episodes are also accompanied by core and brain cooling. Thermoregulatory behaviours, like nest building and curling up, accompany this circadian temperature decline in preparation for sleeping. This could be a matter of simply comfort as animals seek warmth to compensate for lower temperatures. However, in both humans and other mammals, direct skin warming can shorten sleep-latency and promote NREM sleep. We discuss the evidence that body cooling and sleep are more fundamentally connected and that thermoregulatory behaviours, prior to sleep, form warm microclimates that accelerate NREM directly through neuronal circuits. Paradoxically, this warmth might also induce vasodilation and body cooling. In this way, warmth seeking and nesting behaviour might enhance the circadian cycle by activating specific circuits that link NREM initiation to body cooling. We suggest that these circuits explain why NREM onset is most likely when core temperature is at its steepest rate of decline and why transitions to NREM are accompanied by a decrease in brain temperature. This connection may have implications for energy homeostasis and the function of sleep.