Predicting organismal responses to environmental change requires understanding the proximate and ultimate causes for variation in important behavioral and physiological traits. Environmental and phylogenetic influences on behavior and physiology are likely to play important roles in shaping both phenotypic evolution and the responses of species to environmental change. However, the coevolution of behavior and physiology is rarely studied within both a phylogenetic and environmental context. Because of the evolutionary mismatch in the mode and rate at which behavior and physiology co-evolve, one would predict that behavioral and physiological traits exhibit unique evolutionary optima that might constrain rapid adaptation to environmental change. Here, we estimated thermal performance curves, thermal tolerance, and thermoregulatory behavior for Phrynosomatid lizards inhabiting the Sonoran Desert. Traits related to behavioral thermoregulation evolve much faster than thermal physiological traits, and behavioral traits evolve via Brownian Motion whereas all physiological traits exhibit some evolutionary optima. Thermal physiological traits exhibit much greater phylogenetic signal than do thermoregulation traits, and we found that environmental constraints are stronger on traits related to thermoregulatory behavior, and phylogenetic constraints are stronger on traits related to thermal physiology. When we modeled state-dependent shifts in thermoregulatory behavior, we found that no physiological trait influenced the evolution of thermoregulatory behavior. Theory predicts that behavior and physiology should coevolve in response to environmental variation. However, as environmental change selects for different combinations of behavioral and physiological traits, mismatches between these sets of traits can become exaggerated and result in novel phenotypic trajectories at multiple scales.