Small mammals in habitats with strong seasonal variation in the thermal environment often exhibit physiological and behavioral adaptations for coping with thermal extremes and reducing thermoregulatory costs. Burrows are especially important for providing thermal refuge when above-ground temperatures require high regulatory costs (e.g., water or energy) or exceed the physiological tolerances of an organism. Our objective was to explore the role of burrows as thermal refuges for a small endotherm, the pygmy rabbit (Brachylagus idahoensis), during the summer and winter by quantifying energetic costs associated with resting above and below ground. We used indirect calorimetry to determine the relationship between energy expenditure and ambient temperature over a range of temperatures that pygmy rabbits experience in their natural habitat. We also measured the temperature of above- and below-ground rest sites used by pygmy rabbits in eastern Idaho, USA, during summer and winter and estimated the seasonal thermoregulatory costs of resting in the two microsites. Although pygmy rabbits demonstrated seasonal physiological acclimatization, the burrow was an important thermal refuge, especially in winter. Thermoregulatory costs were lower inside the burrow than in above-ground rest sites for more than 50% of the winter season. In contrast, thermal heterogeneity provided by above-ground rest sites during summer reduced the role of burrows as a thermal refuge during all but the hottest periods of the afternoon. Our findings contribute to an understanding of the ecology of small mammals in seasonal environments and demonstrate the importance of burrows as thermal refuge for pygmy rabbits.