This study explores the interaction between olfactory experiences and thermal perceptions, focusing on the effect of a warm vanilla scent, perceived as a “warm fragrance”, on thermal sensation in wintertime. The laboratory experiment was conducted in Bolzano (Italy) and involved two identical rooms: one without odours (control) and the other diffused with a vanilla scent via a ScentAir Direct™ atomizer. Twenty-four participants experienced the two different olfactory conditions, rating their thermal sensation on a 7-point scale. Data was analysed using linear mixed models (LMM) and showed that the vanilla scent significantly increased thermal sensation (+0.77 points compared to the odourless condition, p < 0.001). This effect may be attributed to crossmodal correspondences between vanilla olfactory experience and a warm thermal sensation. These findings suggest that integrating warm olfactory elements into building design could enhance perceived winter thermal comfort without raising temperature levels, thereby potentially contributing to energy savings.