Temperature influences all biological processes. In wild animals, the evolution of molecular thermosensors is crucial in ambient temperature adaption and habitat selection with species specificity. The transient receptor potential melastatin 8 (TRPM8, the most established cold receptor expressed in thermosensory nerve endings) is a cation permeable ion channel, which plays a critical role in thermal sensation and adaptation. The transition of TRPM8 from the closed to open state can be attributed to strong cold dependence. Comparative studies of TRPM8 orthologs have provided valuable insights into how thermosensation has evolved in wild vertebrates over time. Specifically, the appearance of the trpm8 gene in lungfishes provided a protogene structure without function. During the water‐to‐land transition, the trpm8 protogene accumulated mutations mainly in the MHR1‐3 domain that confer cold sensitivity to TRPM8 proteins of terrestrial vertebrates. Furthermore, trpm8 in terrestrial vertebrates acquired mutations at the pore domain that resulted in a change in cold activation efficacy at the molecular level. In marine mammals, TRPM8 orthologs are cold‐sensitive, based on the expectation that the MHR1‐3 domain and pore domain are consistent with those of terrestrial mammals. This review discusses the relationship between the biophysical properties of TRPM8 cold activation and ambient temperature adaptation in vertebrates.