Deep body temperature (Tb) is kept relatively constant despite a wide range of ambient temperature variation. Nevertheless, in particular situations it is beneficial to decrease or to increase Tb in a regulated manner. Under hypoxia for instance a regulated drop in Tb (anapyrexia) is key to reduce oxygen demand of tissues when oxygen availability is diminished, leading to an increased survival rate in a number of species when experiencing low levels of inspired oxygen. On the other hand, a regulated rise in Tb (fever) assists the healing process. These regulated changes in Tb are mediated by the brain, where afferent signals converge and the most important regions for the control of Tb are found. The brain (particularly some hypothalamic structures located in the preoptic area) modulates efferent activities that cause changes in heat production (modulating brown adipose tissue activity and perfusion, for instance) and heat loss (modulating tail skin vasculature blood flow, for instance). This review highlights key advances about the role of the gaseous neuromodulators nitric oxide (NO), carbon monoxide (CO), and hydrogen sulfide (H2S) in thermoregulation, acting both on the brain and the periphery.