Understanding behavioral responses of animals to the thermal environment is of increasing importance under changing climate regimes. Thermoregulatory behaviors, such as exploitation of thermal refugia or temporal partitioning of activity, can buffer organisms against hot and cold thermal extremes but may conflict with other life history needs. Our objective was to evaluate strategies for behavioral thermoregulation by a small-bodied endotherm to test hypotheses about tradeoffs between thermal and security needs across seasons. We quantified the influence of both thermal and security properties of habitat on selection of rest sites by pygmy rabbits (Brachylagus idahoensis), and we identified environmental and endogenous factors affecting levels of activity during summer and winter. Behavioral strategies varied seasonally in response to both thermal challenges and risk of predation. During summer, rabbits selected rest sites with high concealment and low shortwave radiation, but activity levels were independent of ambient temperature. During winter, however, security, but not thermal properties, influenced selection of rest sites, and activity was positively correlated with ambient temperature during the most thermally stressful periods of the day (dawn, dusk, and night). The types of nuanced behavioral plasticity that we documented in response to the thermal environment is likely to be overlooked in evaluations of species tolerance to changing climates. Understanding the potential for behavior to buffer individuals as well as the limits of behavior to shield populations from consequences of climate change is critical for effective conservation of vulnerable species.