The heat dissipation limit (HDL) hypothesis suggests that energy output during lactation in mammals might be constrained by their ability to dissipate heat. This hypothesis predicts that wild mammals ought to adjust nest insulation in response to heat load, but these predictions have rarely been tested in wild mammals. Here we developed a simple score of nest-building for wild deer mice (Peromyscus maniculatus (Wagner, 1845)) on an ordinal scale from 0 to 4, based on three qualitative and easy to observe aspects of nest-building behaviour: bedding quality, nest shape, and mouse visibility. We used this measure to track 472 nest-building observations across 14 wild P. maniculatus that were brought into captivity and housed under pseudoambient temperatures across one reproductive event. Our observations of nest-building behaviour of the genus Peromyscus Gloger, 1841 provide varying support for the HDL hypothesis; there is a negative effect of ambient temperature on nest-building behaviour and lactating females became more sensitive to temperature as days post partum increased. However, females generally build more elaborate nests in lactation than other reproductive states and there are no effects of litter size, total pup mass, or days post partum on nest scores during lactation. Our observations have broad implications for quantifying behaviours in nest-building species and metabolic relationships in wild mammals.