Background: Heat stress challenges small ruminants in semi-arid regions, requiring integrative multi-modeling approaches to identify adaptive thermotolerance traits. This study aimed to identify phenotypic biomarkers and explore the relationships between thermoregulatory responses and hematological, behavioral, morphometric, carcass, and meat traits in lambs. Methods: Twenty 4-month-old non-castrated male lambs, with an average body weight of 19.0 ± 5.11 kg, were evaluated under natural heat stress. Results: Thermoregulatory variables were significantly associated with non-carcass components (p = 0.002), carcass performance (p = 0.027), commercial meat cuts (p = 0.032), and morphometric measures (p = 0.029), with a trend for behavioral responses (p = 0.078). The main phenotypic traits related to thermoregulation included idleness duration, cold carcass weight, blood, liver, spleen, shank, chest circumference, and body length. Exploratory factor analysis reduced the significant indicators to seven latent domains: carcass traits, commercial meat cuts, non-carcass components, idleness and feeding behavior, and morphometric and thermoregulatory responses. Bayesian network modeling revealed interdependencies, showing carcass traits influenced by morphometric and thermoregulatory responses and non-carcass traits linked to ingestive behavior. Thermoregulatory variables were not associated with meat quality or hematological traits. Conclusions: These findings highlight the complex biological relationships underlying heat adaptation and emphasize the potential of combining phenomic data with computational tools to support genomic selection for climate-resilient and welfare-oriented breeding programs.