Bergmann's Rule predicts larger body sizes in colder habitats, increasing organisms’ ability to conserve heat. Originally formulated for endotherms, it is controversial whether Bergmann's Rule may be applicable to ectotherms, given that larger ectotherms show diminished capacity for heating up. We predict that Bergmann's Rule will be applicable to ectotherms when the benefits of a higher conservation of heat due to a larger body size overcompensate for decreased capacity to heating up. We test this hypothesis in the lizard Psammodromus algirus, which shows increased body size with elevation in Sierra Nevada (SE Spain). We measured heating and cooling rates of lizards from different elevations (from 300 to 2500 meters above sea level) under controlled conditions. We found no significant differences in the heating rate along an elevational gradient. However, the cooling rate diminished with elevation and body size: highland lizards, with larger masses, have a higher thermal inertia for cooling, which allows them to maintain heat for more time and keep a high body temperature despite the lower thermal availability. Consequently, the net gaining of heat increased with elevation and body size. This study highlights that the heat conservation mechanism for explaining Bergmann's Rule works and is applicable to ectotherms, depending on the thermal benefits and costs associated with larger body sizes.