This review is the final contribution to a four-part, historical series on human exercise physiology in thermally stressful conditions. The series opened with reminders of the principles governing heat exchange and an overview of our contemporary understanding of thermoregulation (Part 1). We then reviewed the development of physiological measurements (Part 2) used to reveal the autonomic processes at work during heat and cold stresses. Next, we re-examined thermal-stress tolerance and intolerance, and critiqued the indices of thermal stress and strain (Part 3). Herein, we describe the evolutionary steps that endowed humans with a unique potential to tolerate endurance activity in the heat, and we examine how those attributes can be enhanced during thermal adaptation. The first of our ancestors to qualify as an athlete was Homo erectus, who were hairless, sweating specialists with eccrine sweat glands covering almost their entire body surface. Homo sapiens were skilful behavioural thermoregulators, which preserved their resource-wasteful, autonomic thermoeffectors (shivering and sweating) for more stressful encounters. Following emigration, they regularly experienced heat and cold stress, to which they acclimatised and developed less powerful (habituated) effector responses when those stresses were re-encountered. We critique hypotheses that linked thermoregulatory differences to ancestry. By exploring short-term heat and cold acclimation, we reveal sweat hypersecretion and powerful shivering to be protective, transitional stages en route to more complete thermal adaptation (habituation). To conclude this historical series, we examine some of the concepts and hypotheses of thermoregulation during exercise that did not withstand the tests of time.