Thyroid hormone (TH) plays a key role in regulating body temperature in mammals. Cold exposure stimulates the hypothalamus-pituitary-thyroid (HPT) axis at the hypothalamic level by activating hypophysiotropic thyrotropin-releasing hormone (TRH)-producing neurons, ultimately resulting in increased plasma TH concentrations. Importantly, the local TH metabolism within various cold-responsive organs enables tissue-specific action of TH on heat production and adaption to cold independently of the circulating TH levels. In addition to these neuroendocrine effects, TRH neurons in the hypothalamus also have neural connections with brown adipose tissue (BAT), probably contributing to regulation of thermogenesis by the autonomic nervous system. Recent studies have demonstrated that intrahypothalamic TH has profound metabolic effects on BAT, the liver, and the heart that are mediated via the autonomic nervous system. These effects originate in various hypothalamic nuclei, including the paraventricular nucleus (PVN), the ventromedial nucleus, and recently reported neurons in the anterior hypothalamic area, indicating a potential central function for TH on thermoregulation. Finally, although robust stimulation of the thermogenic program in BAT was shown upon TH administration in the ventromedial hypothalamus, the physiological relevance of these neurally mediated effects of TH is unclear at present. This review provides an overview of studies reporting the role of TH in cold defense, with a focus on recent literature evidencing the centrally mediated effects of TRH and TH.