Heat stress negatively affects milk production and feed intake of dairy cows resulting in efforts to find ways of reducing heat stress. A possible avenue could be implementing an exercise regimen to improve thermoregulatory capacity. Our objective was to determine if exercising late gestation heifers in a warm climate could physiologically improve thermoregulation. Pregnant Holstein heifers (n = 25) were randomly assigned to 3 treatment groups: exercise (EX; n = 8), exercise control (EC; n = 8; walked with exercise heifers to exerciser but held in a holding pen), and sedentary control (SC; n = 9). Exercise regimens were implemented 4–5 d per wk in the morning for approximately 30–45 min for 8 wk using a motorized panel walker to control duration and speed. Data were collected on fitness test d 0, 28, and 56 of the experiment in which heifers were pushed to reach their maximum speed and time before exhaustion. Pre- and post-exercise blood samples, intra-vaginal temperature, duration, final speed, and heart rate were collected. During wk 2 and wk 6 of the experiment, intra-vaginal temperature devices recorded temperature for 2–4 d and all data were analyzed using PROC GLIMMIX. Duration (min) and final speed (kph) were significantly greater (P = 0.04, P = 0.009) at d 28 for the EX compared with the SC (duration = 19.31 vs. 13.81; final speed = 6.65 vs. 5.20), implying fitness was achieved. During wk 6, EX heifers spent a smaller percentage of time in Zone 3 (temperature > 39.17°C) than EC during the hottest h of a d (7% vs. 76%; P = 0.045), and both EX and EC heifers also spent less time in Zone 3 compared with the SC during the cooler part of a d (4.16e⁻17% vs. 20%; P = 0.02). During the first wk of lactation, milk protein tended (P = 0.06) to be greater in EX than in SC heifers (3.88 vs. 3.57). There was no significant difference between pre- and post-serum samples (Na⁺, base excess, ionized Ca, glucose, lactate, pCO₂, pO₂) and heart rate collected on fitness days. Based on results from our pilot study, it appears that heifers undergoing an exercise regimen may be able to improve their ability to regulate a homeostatic body temperature.