Natural nests of egg-laying birds and reptiles exhibit substantial thermal variation, at a range of spatial and temporal scales. Rates and trajectories of embryonic development are highly sensitive to temperature, favouring an ability of embryos to respond adaptively (i.e. match their developmental biology to local thermal regimes). Spatially, thermal variation can be significant within a single nest (top to bottom), among adjacent nests (as a function of shading, nest depth etc.), across populations that inhabit areas with different weather conditions, and across species that differ in climates occupied and/or nest characteristics. Thermal regimes also vary temporally, in ways that generate differences among nests within a single population (e.g. due to seasonal timing of laying), among populations and across species. Anthropogenic activities (e.g. habitat clearing, climate change) add to this spatial and temporal diversity in thermal regimes. We review published literature on embryonic adaptations to spatio-temporal heterogeneity in nest temperatures. Although relatively few taxa have been studied in detail, and proximate mechanisms remain unclear, our review identifies many cases in which natural selection appears to have fine-tuned embryogenesis to match local thermal regimes. Developmental rates have been reported to differ between uppermost versus lower eggs within a single nest, between eggs laid early versus late in the season, and between populations from cooler versus warmer climates. We identify gaps in our understanding of thermal adaptations of early (embryonic) phases of the life history, and suggest fruitful opportunities for future research.