Migration is an important event in the life cycle of many organisms, but considerable intraspecific variation may occur in its timing and/or destination, resulting in sexual segregation during wintering periods. In this study, we tested the body size hypothesis, or cold tolerance hypothesis, which predicts that body size dimorphism modulates metabolic costs associated with cold climate. Using the Eurasian skylark, we first investigated whether this species showed sexual differential migration. Then we explored the body size hypothesis by experimentally testing the effect of low ambient temperature (Ta) on both metabolic rate (MR) and body temperature (Tb). We tested for sex-related differences in metabolism and in energy-saving mechanism (hypothermia). We found clear differential migration by sex in skylark wintering populations, with a male-biased sex ratio decreasing toward southern latitudes. Measurements on captive birds at 20°, 6°, and -5°C demonstrated a significant increase in MR when Ta decreased, but there is no difference between sexes. While both males and females reduced their Tb overnight, Tb reduction was more pronounced in females exposed to the coldest temperature treatment. In addition, we found that individuals with the most reduced Tb lost less body weight during the night, suggesting that Tb reduction may help minimize energy expenditure when conditions become constraining. Our study suggests that functional mechanisms may be involved in latitudinal segregation between sexes and supports the hypothesis that sex-specific physiological strategies and thermal tolerance may explain segregation between sexes.