In our daily lives we are exposed simultaneously to multiple sensory stimuli, such as visual, thermal, acoustic and olfactory. Experienced together, they shape our perception of the environment and determine our comfort. In indoor environments, stimuli are affected by construction features such as material, openings, form, size and colour. However, standards and guidelines for the design of buildings, together with the majority of scientific investigations on indoor factors, focus on independent stimuli, considering visual, thermal, acoustic and air quality issues separately. The problem lies in the fact that multiple sensory stimuli, other than affecting our general perception and comfort when experienced in combination, can result in cross-modal effects, whenever a stimulus influences a non-related perception. It could happen, for example, that a sound affects people’s thermal perception or that the thermal environment influences the perception of the indoor air quality. To further the understanding of cross-modal effects, it is therefore necessary to study multiple indoor stimuli in combination. With a particular focus on visual and thermal stimuli, this contribution investigates the interactions between daylight and temperature. First, daylight transmitted through coloured glazing (henceforth referred to as “coloured daylight”) and then different illumination levels of daylight are investigated, in combination with indoor temperature levels. To explore both cross-modal perceptions, the study focuses on the effect of daylight (both “coloured daylight” and daylight levels) on thermal perception and on the effect of temperature levels on visual perception of daylight. For the investigation, two experiments were conducted in a semi-controlled test room, able to set specific temperature levels and with the possibility to apply filters on the South and the North openings. In the first experiment, filters were coloured (blue, orange, against a reference neutral one with similar transmittance levels), while in the second one, filters were neutral with different transmittance levels. Results from both experiments showed that cross-modal effects do occur between daylight and temperature, with temperature influencing visual perception, and colour and quantity of daylight affecting thermal perception (e.g., people exposed to blue daylight were significantly colder and less comfortable compared to those exposed to orange and neutral, with p < 0.05 after linear mixed-model analysis). These findings highlight that indoor factors should not be considered in isolation and that researchers and designers should see the indoor environment as a whole, with all the sensory stimuli simultaneously contributing to shape our multi-sensory experience.