New Zealand working farm dogs can struggle to maintain their body weight and condition during periods of high workload, despite substantial energy intake, highlighting the need to optimise energy balance. One potential strategy for reducing overall energy demands is to reduce energy expenditure for thermoregulation, particularly during colder conditions, which may improve both recovery and energy utilisation. This study investigated whether wearing coats influenced the sleep behaviour, activity, and apparent nutrient digestibility of outdoor-kennelled dogs. Eight adult working-breed dogs (n = 8) were studied using a randomised cross-over design, in which dogs wore a coat or no coat during overnight periods (15:00–09:00 h). Behaviour was monitored using triaxial accelerometers and classified using a validated machine learning model, while apparent nutrient digestibility was determined from pooled faecal samples. Dogs spent more time sleeping when wearing a coat compared to no coat (48.1% vs. 40.0%, p = 0.008), with the effect being most evident during cooler evening hours. Time spent resting and being active was reduced when coats were worn (p < 0.05), while overall activity did not differ (p = 0.856). No differences were observed in apparent digestibility of energy or nutrients (p > 0.05), although protein digestibility tended to be higher when coats were worn (p = 0.079). These findings suggest that coats can improve sleep behaviour, likely through improved thermal comfort. While this study was conducted in research dogs under relatively mild temperature conditions, the results indicate the potential welfare and functional benefits for working farm dogs.