The thermal environment is important in unit production because the perception of thermal stress can reduce fertility, and productive performance, therefore its management is necessary. The use of non-invasive methods, such as infrared thermography and real-time ultrasonography, are widely used to evaluate indicators in animal production, without the need to slaughter the animals. Thus, we aimed to assess the effect of the thermal environment on the physiological parameters and carcass characteristics of Dorper sheep with positive and negative residual feed intake (RFI) using infrared thermography and real-time ultrasonography techniques. Twenty uncastrated male Dorper sheep (17.8 ± 2.4 kg) were confined for 40 days for RFI classification. Sheep were separated into positive RFI (n = 10) and negative RFI (n = 10). The experimental design was in randomized blocks, in a 2 × 2 factorial arrangement, with 2 thermal environments (full sun or shade) and two feed efficiency groups (positive RFI or negative RFI), with 5 replications. The sheep remained in confinement for 60 days. The animals were slaughtered at the end of the experiment and the carcasses dissected for tissue separation. Rectal temperature (RT) and respiratory rate (RR) were measured at two times (14:00 h and 18:00 h) for periods of 5 days. The RR was determined by indirect auscultation of heart sounds at the level of the laryngotracheal region. The RT was measured introduced a digital clinical thermometer into the animal's rectum. Surface temperature (ST) was obtained using a thermographic infrared camera, collecting the temperatures of the eyeball and skin surface in the regions of the head, ribs, rump, flank and shin. Sheep confined in full sun showed higher RR (P = 0.0001), ST ribs (P = 0.0020), ST rumb (P = 0.0055), ST flank (P = 0.0001) and heat tolerance coefficient (HTC) (P = 0.0010). For sheep confined in full sun, a strong correlation was observed between the RR and the mean ST (MST; r = 0.6826; P = 0.0236) and between the final loin eye area (LEAf) with the real LEA (LEAr) (r = 0.9263; P = 0.0001) and slaughter body weight (SBW) (r = 0.7532; P = 0.0325). For negative RFI sheep, a positive correlation was observed between the RR and the ST rump (r = 0.7343; P = 0.0025) and ST ribs (r = 0.6560; P = 0.0178) and the MST (r = 0.7435; P = 0.0001), between the MST and the LEAr (r = 0.6837; P = 0.0025) and the final LEA (r = 0.6771; P = 0.0144), and between the final LEA and LEAr (r = 0.9942; P = 0.0001), BW (r = 0.8415; P = 0.0277) and MST (r = 0.6771; P = 0.0045). Positive RFI sheep confined to shade showed a high correlation between final LEA and LEAr (r = 0.9372; P = 0.0001). The use of shading in confined Dorper sheep, regardless of the RFI classification, reduces the effects of heat stress on physiological parameters.