The survival of a bird's developing embryo depends on the egg's ability to stay within strict thermal limits. How eggshell colours help maintain thermal balance is a long-standing and contested question. Using data spanning a wide phylogenetic diversity of birds on a global spatial scale, we find evidence that eggshell pigmentation may have been shaped by thermoregulatory needs. Birds living in cold habitats, particularly those with nests exposed to incident solar radiation, have darker eggs. We show evidence that darker eggs heat more rapidly than lighter ones when exposed to solar radiation. This evidence suggests that egg pigmentation could play an important role in thermoregulation in cold climates, while a range of competing selective pressures further influence eggshell colours in warmer climates. These findings advance our understanding of thermoregulation in the distribution of natural colours.