The thermosensory system is relevant to both the conceptualization and treatment of depression. There is evidence that depression is associated with changes in thermoregulatory functioning, and that thermosensory pathways can be recruited to influence affect and reduce depressive symptoms. In this study, we investigated the relationship between severity of depressive symptoms and changes to measures of subjective experiences associated with thermoregulatory processes as well as the relationship between severity of depressive symptoms and affective responses to warm stimuli, specifically frequency of warmth-seeking behavior. Participants ( = 529) completed measures of depressive symptoms, subjective experiences associated with thermoregulatory processes (i.e., perceived sweating and preferred ambient temperature) and frequency of warmth-seeking behavior (e.g., long hot baths, saunas, etc.). We demonstrate that, controlling for age and gender, greater severity of depressive symptoms is associated with greater perceived sweating and lower preferred ambient temperature. Furthermore, we demonstrate that greater severity of depressive symptoms is associated with more frequent warmth-seeking behavior, and that something other than thermal preference (i.e., stated preference for warmer temperature) is driving this behavior. These data highlight the importance of incorporating the thermoregulatory system in our conceptualization of the pathophysiology of depression and support the potential to recruit thermosensory pathways to target depressive symptoms.