Thermal constraints may limit the physiology and behaviour of ectotherms because of the high thermal dependence of metabolic functions. The adaptive mechanisms of thermoregulation and the cost of confronting thermal constraints were studied in the Cyren’s Rock Lizard (Iberolacerta cyreni (Müller and Hellmich, 1937)), a lacertid lizard endemic to mountain areas of central Spain. Semicontinuous monitoring of body temperature (Tb) in the laboratory indicated that the preferred temperature range for this population (Tpref) was lower than those found for most lacertid lizards, and field body temperatures of active animals in summer were even lower than Tpref. Overall these results, together with distribution of field operative temperatures (Te), indicate that I. cyreni is an active and relatively accurate thermoregulator, although limited by thermal constraints in their habitat. Laboratory experiments in contrasting thermal environments showed that even under thermally restricted conditions, lizards achieved their Tpref by modifying their thermoregulatory behaviour, principally through changes in space use, basking time, and body posture. However, these behavioural adjustments to reach the Tpref have associated costs, and lizards spent 80% of their time in thermoregulation when tested under low radiation conditions, which in the wild would limit the scope for other activities and eventually increase predation risk. Our results suggest that thermoregulatory behaviour may play an important role in coping with global climate change, hence predictions of the effects of climate warming on lizards inhabiting cold habitats should take into account the buffering role of behavioural thermoregulation.