Thermoregulation is critical for survival across species. In animals, the nervous system detects external and internal temperatures, integrates this information with internal states, and ultimately forms a decision on appropriate thermoregulatory actions. Recent work has identified critical molecules and sensory and motor pathways controlling thermoregulation. However, especially with regard to behavioral thermoregulation, many open questions remain. Here, we aim to both summarize the current state of research, the “knowledge,” as well as what in our mind is still largely missing, the “future directions.” Given the host of circuit entry points that have been discovered, we specifically see that the time is ripe for a neuro-computational perspective on thermoregulation. Such a perspective is largely lacking but is increasingly fueled and made possible by the development of advanced tools and modeling strategies.