Dairy cattle are particularly sensitive to heat stress due to the higher metabolic rate needed for milk production. In recent decades, global warming and the increase in dairy production in warmer countries have stimulated the development of a wide range of environmental control systems for dairy farms. Despite their proven effectiveness, the associated energy and water consumption can compromise the viability of dairy farms in many regions, due to the cost and scarcity of these resources. To make these systems more efficient, they should be activated in time to prevent thermal stress and switched off when that risk no longer exists, which must consider environmental variables as well as the variables of the animals themselves. Nowadays, there is a wide range of sensors and equipment that support farm routine procedures, and it is possible to measure several variables that, with the aid of algorithms based on predictive models, would allow anticipating animals’ thermal states. This review summarizes three types of approaches as predictive models: bioclimatic indexes, machine learning, and mechanistic models. It also focuses on the application of the current knowledge as algorithms to be used in the management of diverse types of environmental control systems.