Maintenance metabolism as the minimum energy expenditure needed to maintain homeothermy (a high and stable body temperature, Tb), reflects the magnitude of metabolic machinery and the associated costs of self‐maintenance in endotherms (organisms able to produce heat endogenously). Therefore, it can interact with most, if not all, organismal functions, including the behavior–fitness linkage. Many endothermic animals can avoid the costs of maintaining homeothermy and temporally reduce Tb and metabolism by entering heterothermic states like torpor, the most effective energy‐saving strategy. Variations in BMR, behavior, and torpor use are considered to be shaped by food resources, but those conclusions are based on research studying these traits in isolation. We tested the effect of ecological contexts (food availability and predation risk) on the interplay between the maintenance costs of homeothermy, heterothermy, and exploration in a wild mammal—the yellow‐necked mouse. We measured maintenance metabolism as basal metabolic rate (BMR) using respirometry, distance moved (exploration) in the open‐field test, and variation in Tb (heterothermy) during short‐term fasting in animals captured at different locations of known natural food availability and predator presence, and with or without supplementary food resources. We found that in winter, heterothermy and exploration (but not BMR) negatively correlated with natural food availability (determined in autumn). Supplementary feeding increased mouse density, predation risk and finally had a positive effect on heterothermy (but not on BMR or exploration). The path analysis testing plausible causal relationships between the studied traits indicated that elevated predation risk increased heterothermy, which in turn negatively affected exploration, which positively correlated with BMR. Our study indicates that adaptive heterothermy is a compensation strategy for balancing the energy budget in endothermic animals experiencing low natural food availability. This study also suggests that under environmental challenges like increased predation risk, the use of an effective energy‐saving strategy predicts behavioral expression better than self‐maintenance costs under homeothermy.