The silvopastoral system has the potential to alleviate the negative impacts of heat stress on livestock. Through a preliminary study, we assessed the thermal environment experienced by hair coat lambs, as well as the impacts on their bio-thermal and behavioural responses, when either kept in either the silvopastoral system, or exposed to full sun. Twelve hair coat lambs (Dorper × Santa Ines) were randomly assigned to a silvopastoral system or full sun exposure during the summer (from January to February 2017). Parameters, including air temperature, black globe temperature, relative humidity, wind speed, and ground surface temperature, were measured daily for both thermal environments. From 14:00 to 16:00, lambs kept in silvopastoral areas experienced lower levels of air temperature, radiant heat load, and ground surface temperature. Consequently, they had a lower hair coat surface and lower body rectal temperatures. Lambs exposed to a shaded environment spent more time grazing and walking, and less time standing at rest. In conclusion, lambs kept in a silvopastoral system experienced lower levels of radiant heat load and ground surface temperature. In addition, the animals showed a reduced requirement for evaporative cooling and expressed behaviours that indicated a comfortable thermal environment.