The biochemical composition of adipose tissues plays an important role as physical barrier in mammalian thermoregulation. As fatty acid (FA) desaturation increases, adipose tissues can reach colder temperatures without solidifying. This is particularly important in bare-skinned animals and those inhabiting cold regions. We investigate how variation in FA desaturation relates to different thermal proxies. We calculate FA desaturation index for 48 mammalian species based mostly on literature values and compile a dataset of thermal proxies: Hair density, latitude and environment (terrestrial, semi-aquatic and fully-aquatic). To examine the relative contribution thermal factors play in the variation of FA desaturation, we use phylogenetic regression analyses along with a model selection approach. An interaction of environment and latitude is the model with the highest support. Adipose tissues in terrestrial mammals do not seem to have a thermoregulatory role. Fully-and semi-aquatic mammals have higher FA desaturation compared to terrestrial mammals. We show that as mammals re-invaded aquatic environments, FA modification became an important component of their thermoregulatory strategy. Semi-aquatic mammals have significantly higher levels of desaturated FAs when living in colder environments whereas terrestrial and fully-aquatic mammals do not. A high FA desaturation allows fully-aquatic mammals to maintain flexible blubber in cold environments, but surprisingly they do not modify FAs as they migrate through different latitudes. They probably regulate other blubber parameters instead. In semi-aquatic mammals, when fur is very dense the desaturation of FAs is low, and vice versa. Semi-aquatic mammals in colder environments tend to rely on blubber as an insulator.