This study was carried out to evaluate the influence of climatic factors on performance and physiological responses of sheep fed on different protein supplements in grazing Tifton 85 ( Cynodon spp.) irrigated in conditions of Brazilian semiarid climate. A total of 28 male Santa Ines * SPRD (undefined breed), castrated lambs, with initial weight of 28 kg, received three different sources of protein in the supplement (soybean meal, cotton cake and urea) and a control treatment, only on grass. The parameters evaluated were: dry matter intake, average daily gain, physiological parameters [respiratory rate (FR), surface temperature (TS) and rectal temperature (TR)] and environmental parameters. Under the climatic conditions imposed by the experiment, the period of the afternoon led the animals to a condition of high heat stress, regardless of the diet. Supplementation affected roughage intake without changing sheep performance, making it economically unfeasible. Protein source derived from cotton cake and used in the supplement for the lambs in grazing increased FR, influencing their thermal comfort.