Understanding the factors that affect human thermal responses is necessary to properly design and operate low-energy buildings. It has been suggested that factors not related to the thermal environment can affect thermal responses of occupants, but these factors have not been integrated in thermal comfort models due to a lack of knowledge of indoor factor interactions. While some studies have investigated the effect of electric light on thermal responses, no study exists on the effect of daylight. This study presents the first controlled experimental investigation on the effect of daylight quantity on thermal responses, combining three levels of daylight illuminance (low ~130 lx, medium ~600 lx, and high ~1400 lx) with three temperature levels (19, 23, 27 °C). Subjective and objective thermal responses of 84 participants were collected through subjective ratings on thermal perception and physiological measurements, respectively. Results indicate that the quantity of daylight influences the thermal perception of people specifically resulting in a cross-modal effect, with a low daylight illuminance leading to a less comfortable and less acceptable thermal environment in cold conditions and to a more comfortable one in warm conditions. No effect on their physiological responses was observed. Moreover, it is hypothesised that a warm thermal environment could be tolerated more whenever daylight is present in the room, as compared to the same thermal condition in a room lit with electric lights. Findings further the understanding of factors affecting human thermal responses and thermal adaptation processes in indoor environments and are relevant for both research and practice. The findings suggest that daylight should be considered as a factor in thermal comfort models and in all thermal comfort investigations, as well as that thermal and daylight illuminance conditions should be tuned and changed through the operation and design strategy of the building to guarantee its occupants’ thermal comfort in existing and future structures.