Acclimatization favors greater extracellular tonicity from lower sweat sodium, yet hyperosmolality may impair thermoregulation during heat stress. Enhanced secretion or action of vasopressin could mitigate this through increased free water retention. Aims were to determine responses of the vasopressin surrogate copeptin to dehydrating exercise and investigate its relationships with tonicity during short and long‐term acclimatization. Twenty‐three participants completed a structured exercise programme following arrival from a temperate to a hot climate. A Heat Tolerance Test (HTT) was conducted on Day‐2, 6, 9 and 23, consisting of 60‐min block‐stepping at 50% VO
2peak, with no fluid intake. Resting sweat [Na+] was measured by iontophoresis. Changes in body mass (sweat loss), core temperature, heart rate, osmolality (serum and urine) and copeptin and aldosterone (plasma) were measured with each Test. From Day 2 to Day 23, sweat [Na+] decreased significantly (adjusted P < 0.05) and core temperature and heart rate fell. Over the same interval, HTT‐associated excursions were increased for serum osmolality (5 [−1, 9] vs. 9 [5, 12] mosm·kg−1), did not differ for copeptin (9.6 [6.0, 15.0] vs. 7.9 [4.3, 14.7] pmol·L−1) and were reduced for aldosterone (602 [415, 946] vs. 347 [263, 537] pmol·L−1). Urine osmolality was unchanging and related consistently to copeptin at end‐exercise, whereas the association between copeptin and serum osmolality was right‐shifted (P = 0.0109) with acclimatization. Unchanging urine:serum osmolality argued against increased renal action of vasopressin. In conclusion, where exercise in the heat is performed without fluid replacement, heat acclimatization does not appear to enhance AVP‐mediated free water retention in humans.