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While sexual selection may drive the evolution of large horns in male Bovidae, heat loss from the hem’s vascularized bony core in cold winters imposes an energetic cost on large-horned males. We compared horn morphology between tropical and temperate bovids to test for evolutionary adaptations to heat loss. In temperate species, the surface area of the vascularized bony core is reduced while thickness of the outer keratin sheath is increased, limiting heat flow from hems. Within the genus Ovis, temperate species and subspecies have thicker keratin sheaths than desert subspecies. We argue that thermal stress affecting the morphology of hems is a selective force countering sexual selection in temperate bovids.