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Previous investigations have assumed that embryos lack the capacity of physiological thermoregulation until they are large enough for their own metabolic heat production to influence nest temperatures. Contrary to intuition, reptile embryos may be capable of physiological thermoregulation. In our experiments, egg-sized objects (dead or infertile eggs, water-filled balloons, glass jars) cooled down more rapidly than they heated up, whereas live snake eggs heated more rapidly than they cooled. In a nest with diel thermal fluctuations, that hysteresis could increase the embryo’s effective incubation temperature. The mechanisms for controlling rates of thermal exchange are unclear, but may involve facultative adjustment of blood flow. Heart rates of snake embryos were higher during cooling than during heating, the opposite pattern to that seen in adult reptiles. Our data challenge the view of reptile eggs as thermally passive, and suggest that embryos of reptile species with large eggs can influence their own rates of heating and cooling.