Exercising in a hot and humid environment increases core body temperature, which may limit exercise performance. The risk of exercise-induced hyperthermia and associated performance decrement in Olympic sailing athletes is largely unknown. Therefore, this study aimed to compare thermoregulatory responses and performance indicators of elite sailors in a cool versus hot and humid environment. Seven elite athletes from four different Olympic sailing classes (Laser, RS:X, Finn, 470) performed cycling and/or rowing exercise in a cool (18°C) and hot (33°C) environment, while core body temperature (T C), skin temperature (T SK), exercise performance (covered distance), and rating of perceived exertion were measured continuously. T C increased significantly more in the hot environment (37.6 ± 0.2°C to 39.1 ± 0.1°C) compared to the cool environment (37.5 ± 0.1°C to 38.5 ± 0.2°C; p = 0.002), but the increase in T C between conditions differed substantially within individuals (range: 0.3°C-0.9°C). Exercise performance decreased by 6.2 ± 2.9% in the hot environment (p = 0.013, range: 2.3%-9.5%), but more importantly, exercise performance was strongly inversely related to peak T C (R = −0.78, p = 0.039). Rating of perceived exertion (cool: 14.2 ± 0.6; hot: 13.9 ± 1.2) and increase in T SK (cool: 0.5 ± 1.0°C; hot: 0.9 ± 0.3°C) did not differ between conditions (p = 0.59 and p = 0.36, respectively). To conclude, a larger increase in T C and substantial exercise performance decrement were observed in the hot versus cool environment. As a further matter, large inter-individual differences were observed across athletes with an inverse relationship between T C and exercise performance, which stresses the importance of appropriate and personalized interventions to reduce thermoregulatory burden of elite sailors during exercise in the heat.