The activation of cutaneous vasodilation and sweating are essential to the regulation of core temperature during exercise in the heat. We assessed the effect of graduated compression induced by wearing stockings on cutaneous vasodilation and sweating during exercise in the heat (30°C). On two separate occasions, nine young males exercised for 45 min or until core temperature reached ~1.5°C above baseline resting while wearing either (1) stockings causing graduated compression (graduate compression stockings, GCS), or (2) loose‐fitting stockings without compression (Control). Forearm vascular conductance was evaluated by forearm blood flow (venous occlusion plethysmography) divided by mean arterial pressure to estimate cutaneous vasodilation. Sweat rate was estimated using the ventilated capsule technique. Core and skin temperatures were measured continuously. Exercise duration was similar between conditions (Control: 42.2 ± 3.6 min vs. GCS: 42.2 ± 3.6 min, P = 1.00). Relative to Control, GCS increased forearm vascular conductance during the late stages (≥30 min) of exercise (e.g., at 40 min, 15.6 ± 5.6 vs. 18.0 ± 6.0 units, P = 0.01). This was paralleled by a greater sensitivity (23.1 ± 9.1 vs. 32.1 ± 15.0 units°C−1, P = 0.043) and peak level (14.1 ± 5.1 vs. 16.3 ± 5.7 units, P = 0.048) of cutaneous vasodilation as evaluated from the relationship between forearm vascular conductance with core temperature. However, the core temperature threshold at which an increase in forearm vascular conductance occurred did not differ between conditions (Control: 36.9 ± 0.2 vs. GCS: 37.0 ± 0.3°C, P = 0.13). In contrast, no effect of GCS on sweating was measured (all P > 0.05). We show that the use of GCS during exercise in the heat enhances cutaneous vasodilation and not sweating.