All-season thermal management with zero energy consumption and emissions is more crucial to global decarbonization over traditional energy-intensive cooling/heating systems. However, the static single thermal management for cooling or heating fails to self-regulate the temperature in dynamic seasonal temperature condition. Herein, inspired by the dual-temperature regulation function of the fur color changes on the backs and abdomens of penguins, a smart thermal management composite hydrogel (PNA@H-PM Gel) system was subtly created though an “on-demand” dual-layer structure design strategy. The PNA@H-PM Gel system features synchronous solar and thermal radiation modulation as well as tunable phase transition temperatures to meet the variable seasonal thermal requirements and energy-saving demands via self-adaptive radiative cooling and solar heating regulation. Furthermore, this system demonstrates superb modulations of both the solar reflectance (ΔR = 0.74) and thermal emissivity (ΔE = 0.52) in response to ambient temperature changes, highlighting efficient temperature regulation with average radiative cooling and solar heating effects of 9.6 °C in summer and 6.1 °C in winter, respectively. Moreover, compared to standard building baselines, the PNA@H-PM Gel presents a more substantial energy-saving cooling/heating potentials for energy-efficient buildings across various regions and climates. This novel solution, inspired by penguins in the real world, will offer a fresh approach for producing intelligent, energy-saving thermal management materials, and serve for temperature regulation under dynamic climate conditions and even throughout all seasons.