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Behavioural thermoregulation, particularly the use of cool microclimates, is one method by which organisms could avoid the worst effects of climate warming. However, retreat into cool microsites, e.g. shady vegetation or burrows, may carry important lost-opportunity costs. These could include reduced opportunity for foraging, breeding or territorial defence, each carrying implications for fitness. We investigated patterns of microclimate use and foraging behaviour by Southern Fiscals Lanius collaris in the Kalahari. We used Ivlev’s electivity index to assess preference of breeding males for perch types with different thermal properties. We found that Southern Fiscals preferred to hunt from high, sunny perches at all times, except on hot afternoons (air temperature >35 degrees C), when they switched their preference to high, shaded perches. Black-bulb thermometers indicated shaded perches were always cooler than sunny perches, especially on hot afternoons. Therefore, Southern Fiscals could reduce thermoregulatory costs by switching foraging locations. However, Southern Fiscal foraging success rates were highest when hunting from sunny perches, and were reduced by c. 50% when hunting from shaded perches. Our data suggest that Southern Fiscals were making a trade-off on hot afternoons, compromising foraging intake in return for thermal benefits. We discuss potential costs and consequences of this trade-off under climate change.