Tuna are unique among teleost fishes in being thermoconserving. Vascular counter-current heat exchangers maintain body temperatures above ambient water temperature, thereby improving locomotor muscle efficiency, especially at burst speeds and when pursuing prey below the thermocline. Because tuna also occasionally swim rapidly in warm surface waters, it has been hypothesized that tuna thermoregulate to accommodate changing activity levels or ambient temperatures. But previous field experiments have been unable to demonstrate definitively short-latency, mammalian-type physiological thermoregulation. Here we show using telemetered data that free-ranging bigeye tuna (Thunnus obesus) can rapidly alter whole-body thermal conductivity by two orders of magnitude. The heat exchangers are disengaged to allow rapid warming as the tuna ascend from cold water into warmer surface waters, and are reactivated to conserve heat when they return into the depths. Combining physiological and behavioural thermoregulation expands the foraging space of bigeye tuna into otherwise prohibitively cold, deep water.