Small mammals, and particularly shrews and mice, have relatively high mass-specific metabolic rates and may be constrained to habitats where they can avoid extreme temperatures. Although their phylogeny differs, shrews and rodents often inhabit the same environments and compete for resources due to their similar body masses and dietary overlap. Our aim was to elucidate the variation in thermal parameters of sympatric species. We examined Myosorex varius, Crocidura flavescens and Mus minutoides, by measuring metabolic rate, evaporative water loss (EWL), body temperature (Tb) and thermal conductance over a range of ambient temperatures (Ta). Body temperatures of all three species remained above 32°C across the range of Ta. For all species, there was no relation between Ta <35°C and EWL, although EWL in C. flavescens was considerably lower compared to the other two species. Dry thermal conductance was much higher in Mu. minutoides than in either of the shrews. Resting metabolic rate of all three species declined with Ta <35°C. The thermoneutral zone of My. varius was between Ta = 35°C and Ta = 40°C, whereas that of C. flavescens was between Ta = 30°C and Ta = 33°C. No discernible thermoneutral zone was evident for Mu minutoides. Our data reveal considerable variation in thermal physiology among three sympatric species of small mammal at a single site and generally conform to the plesiomorphic–apomorphic endothermy model. Differences in body size, life-history traits and evolutionary history may all play a role in the thermoregulatory patterns of these sympatric species.