Conserving Earth's most rapidly changing biomes necessitates understanding biological consequences of altered climes. Past species- and taxa-level responses to warming environs include numerous concentrated extirpations at the southern peripheries of distributions during the late Pleistocene. Less clear are localized capacities of cold-adapted species to mitigate thermal challenges against warming temperatures, especially through proximate behavioral and physiological adjustments. Whereas snow patches persist in periglacial zones and elsewhere, broad reductions in seasonal snow raise concerns about how and why species continue to use them. If snow patches play a functional role to combat increasing thermal demands, we predicted individuals would display an array of autonomic responses to increased temperatures modulated by wind, ambient temperature, and winter fur on and away from snow patches. We tested these predictions using a mammalian exemplar of high latitude and high elevation, mountain goats (Oreamnos americanus), using two sites in the northern Rocky Mountains, USA. Surprisingly, and contrary to expectations of reduced thermal stress, respiration rates were not decreased on snow patches but use of snow was strongly correlated with decreased metrics of insect harassment. As snow cover continues to decline in montane environs, the persistence of cold-adapted species depends on navigating concurrent changes in biotic communities and thermal environments and balancing competing pressures on behavioral and biological responses.