Successful adaptation to passive hyperthermia requires continual adjustment of circulation, which is mediated mainly by the autonomic nervous system. The goal of this study was to explore the alterations in spontaneous cardiovagal baroreflex sensitivity (BRS) during exposure to a hot environment. To continuously follow changes in core body temperature (Tc), haemodynamics, and BRS, male Wistar-Kyoto rats were implanted with telemetric transmitters. BRS at an ambient temperature of 23 °C was not steady but oscillated with a maximum power in the range of 0.02–0.2 Hz. Exposure to hot air immediately shifted the distribution of BRS to higher values, although Tc remained unchanged (37.2 (0.3) °C), and the average BRS changed from 1.3 (0.3) to 3 (1.4) ms.mmHg−1, p < 0.0001. The degree of initial cardiovagal baroreflex sensitization explained 57% of the variability in the time to the onset of arterial pressure decline (p = 0.0114). With an increasing Tc (>38.8 (0.6) °C), BRS non-linearly declined, but haemodynamic parameters remained stable even above a Tc of 42 °C when the cardiovagal baroreflex was virtually non-operative. Abrupt full desensitization of the cardiovagal baroreflex with a muscarinic blocker did not induce arterial pressure decline. Our data indicate that a progressive decrease in BRS during passive hyperthermia does not induce haemodynamic instability. The positive association between initial cardiovagal baroreflex sensitization and the time to the onset of arterial pressure decline may reflect the potential protective role of parasympathetic activation during exposure to a hot environment.