Active thermal management systems offer a potential for small improvements in fuel consumption that will contribute to upcoming legislation on carbon dioxide emissions. These systems offer new degrees of freedom for engine calibration; however, their full potential will only be exploited if a systems approach to their calibration is adopted, in conjunction with other engine controls. In this work, a design-of-experiments approach is extended to allow its application to transient drive cycles performed on a dynamic test stand. Experimental precision is of crucial importance in this technique since even small errors would obscure the effects of interest. The dynamic behaviour of the engine was represented mathematically in a manner that enabled conventional steady state modelling approaches to be employed in order to predict the thermal state of critical parts of the engine as a function of the actuator settings. A 17-point test matrix was undertaken, and subsequent modelling and optimisation procedures indicated potential 2–3% fuel consumption benefits under iso-nitrogen oxide conditions. Reductions in the thermal inertia appeared to be the most effective approach for reducing the engine warm-up time, which translated approximately to a 1.3% reduction in the fuel consumption per kilogram of coolant. A novel oil-cooled exhaust gas recirculation system showed the significant benefits of cooling the exhaust gases, thereby reducing the inlet gas temperature by 5 °C and subsequently the nitrogen oxide emissions by 6%, in addition to increasing the warm-up rate of the oil. This suggested that optimising the thermal management system for cooling the gases in the exhaust gas recirculation system can offer significant improvements. For the first time this paper presents a technique that allows simple predictive models of the thermal state of the engine to be integrated into the calibration process in order to deliver the optimum benefit. In particular, it is shown how the effect of the thermal management system on the nitrogen oxides can be traded off, by advancing the injection timing, to give significant improvements in the fuel consumption.