We have found that pronghorn (Antilocapra americana) use external heat exchange with the environment and internal heat exchange between the carotid artery rete and cavernous venous sinus blood to regulate body temperature. Now we have investigated the relationship between the histological structure of the skin, cephalic veins, and carotid rete–cavernous sinus system and the physiological mechanisms pronghorn use, and whether their thermoregulatory anatomy has adaptive advantages. We harvested tissue samples of skin, three veins (i.e., angularis oculi vein, dorsal nasal vein, and facial vein), and the carotid rete–cavernous sinus system from four pronghorn, two culled in summer and two in winter, and examined each histologically. The three veins had the typical structure of veins with large lumina and thin walls. The carotid rete consisted of small (0.1–0.5 mm) arterioles with a density of ~10/mm2, intertwined with veins (~2/mm2), enclosed within the cavernous sinus; a structure ideal for heat exchange. We concluded that the main function of the dorsal nasal and facial veins is to return cold blood to the body to effect whole body cooling. The cavernous sinus is supplied with warm blood by the palatine veins in winter and cold blood by the deep facial veins in summer, an arrangement different to that in other ungulates, such as sheep, in which the angularis oculi vein supplies the cavernous sinus. Pronghorn skin is richly supplied with blood vessels that facilitate convective heat loss in summer. In winter, the number of coarse and fine hairs per square millimeter increases more than in European deer to form a thick pelage that minimizes heat loss. In summer, the pelage is shed because hair follicles involute. Unlike in other ungulates, pronghorn skin has little adipose tissue. The number of apocrine glands increases in winter rather than in summer. We concluded that the glands have a reproductive/social function rather than a thermoregulatory one. In summary, our study shows that the thermoregulatory anatomy is consistent with our physiological data and has adaptive advantages that help explain the survival of pronghorn in an arid habitat characterized by extreme temperature variation and sparse vegetation.