If heat generated through activity can substitute for heat required for thermoregulation, then activity in cold environments may be energetically free for endotherms. Although the possibility of activity-thermoregulatory heat substitution has been long recognized, its empirical generality and ecological implications remain unclear. We combine a review of the literature and a model of heat exchange to explore the generality of activity-thermoregulatory heat substitution, to assess the extent to which substitution is likely to vary with body size and ambient temperature, and to examine some potential macroecological implications. A majority of the 51 studies we located showed evidence of activity-thermoregulatory heat substitution (35 of 51 studies), with 28 of 32 species examined characterized by substitution in one or more study. Among studies that did detect substitution, the average magnitude of substitution was 57%, but its occurrence and extent varied taxonomically, allometrically, and with ambient temperature. Modeling of heat production and dissipation suggests that large birds and mammals, engaged in intense activity and exposed to relatively warm conditions, have more scope for substitution than do smaller endotherms engaged in less intense activity and experiencing cooler conditions. However, ambient temperature has to be less than the lower critical temperature (the lower bound of the thermal neutral zone) for activity-thermoregulatory heat substitution to occur and this threshold is lower in large endotherms than in small endotherms. Thus, in nature, substitution is most likely to be observed in intermediate-sized birds and mammals experiencing intermediate ambient temperatures. Activity-thermoregulatory heat substitution may be an important determinant of the activity patterns and metabolic ecology of endotherms. For example, a pattern of widely varying field metabolic rates (FMR) at low latitudes that converges to higher and less variable FMR at high latitudes has been interpreted as suggesting that warm environments at low latitudes allow a greater variety of feasible metabolic niches than do cool, high-latitude environments. However, activity-thermoregulatory heat substitution will generate this pattern of latitudinal FMR variation even if endotherms from cold and warm climates are metabolically and behaviorally identical, because the metabolic rates of resting and active animals are more similar in cold than in warm environments. Activity-thermoregulatory heat substitution is an understudied aspect of endotherm thermal biology that is apt to be a major influence on the physiological, behavioral and ecological responses of free-ranging endotherms to variation in temperature.