Forty Dorper × Pelibuey sheep females were used to evaluate the effects of physiological state on physiological variables and serum concentrations of metabolites, thyroid hormones, and electrolytes under outdoor heat stress conditions. Females were selected as follows (n = 10 per group): weaning ewe lambs (WEL; 3 months old), replacement nulliparous ewes (RNE; 8 months old), non-pregnant and non-lactating multiparous ewes (NME; 3-4years old) and lactating multiparous ewes (LME; 3-4years old). While physiological variables were measured both morning and afternoon, blood samples were collected before feeding in the morning to determine all blood components. Three contrasts were constructed: (1) WEL vs. older ewes, (2) RNE vs. multiparous ewes, and (3) NME vs. LME. Compared with older ewes, WEL had higher (P < 0.01) rectal temperature (RT) and hair coat temperatures through the day, and also higher (P < 0.01) respiratory rate (RR) only in the afternoon. Serum levels of glucose and cholesterol were lower (P ≤ 0.02) in WEL than in older ewes. Nulliparous ewes compared with multiparous had always similar RT but higher (P ≤ 0.05) hair coat temperatures in most of the body regions by the morning and higher (P < 0.01) RR, without difference for hair coat temperatures in the afternoon. Only serum glucose (P = 0.07) and urea nitrogen (P < 0.01) levels were affected by parturition number, being lower in multiparous ewes. Regarding the effect of lactation, while RR was unaffected, afternoon RT and hair coat temperatures in most of the body regions through the day were higher (P ≤ 0.03) in lactating ewes. In addition, LME had lower (P < 0.01) serum levels of glucose, cholesterol, and urea nitrogen, but higher (P = 0.02) triiodothyronine levels than NME. In conclusion, ewe lambs and lactating ewes were less tolerant to heat stress, while nulliparous and multiparous ewes showed similar thermoregulatory ability.