The aims of the present work were to investigate the relationships between radiant heat load, air velocity and body temperatures with or without coincidental exercise to determine the physiological mechanisms that drive thermal comfort and thermoregulatory behaviour. Seven male volunteers wearing swimming trunks in 18 °C, 22 °C or 26 °C air were exposed to increasing air velocities up to 3 m s− 1 and self-adjusted the intensity of the direct radiant heat received on the front of the body to just maintain overall thermal comfort, at rest or when cycling (60 W, 60 rpm). During the 30 min of the experiments, skin and rectal temperatures were continuously recorded. We hypothesized that mean body temperature should be maintained stable and the intensity of the radiant heat and the mean skin temperatures would be lower when cycling. In all conditions, mean body temperature was lower when facing winds of 3 m s −1 than during the first 5 min, without wind. When facing winds, in all but the 26 °C air, the radiant heat was statistically higher at rest than when exercising. In 26 °C air mean skin temperature was lower at rest than when exercising. No other significant difference was observed. In all air temperatures, high correlation coefficients were observed between the air velocity and the radiant heat load. Other factors that we did not measure may have contributed to the constant overall thermal comfort status despite dropping mean skin and body temperatures. It is suggested that the allowance to behaviourally adjust the thermal environment increases the tolerance of cold discomfort.