Sleeping All Day
Many animals survive the heat primarily by avoiding it. Being crepuscular or nocturnal is a basic way of doing so. Crepuscular animals, like bobcats for example, are active during cooler twilight hours; nocturnal animals, like coyotes, are active during the nighttime. These animals don't have to deal with being active when heat peaks during the day.
Going Underground
Another good way of avoiding the heat is burrowing underground. For example, kangaroo rats and other desert rodents dig themselves underground homes. This keeps them out of the sun, and temperatures below the surface are considerably lower than above it.
Higher Tolerance
Many animals indigenous to hot climates have simply adapted to tolerate higher body temperatures than others found in cooler biomes. For example, the antelope squirrel can tolerate a body temperature of more than 104 degrees Fahrenheit; that's bordering on a dangerous fever for a human.