This dataset contains mass spectrometry-based proteomics data from subcutaneous adipose tissue (SAT), visceral adipose tissue (VAT), and brown adipose tissue (BAT) isolated from wild-type and adipose-tissue-specific myoglobin knockout (ATMBKO) mice maintained at room temperature (23°C), thermoneutrality (30°C), or exposed to cold (8°C). The objective of the study was to determine the contribution of adipose myoglobin to thermogenesis and thermoregulation. The dataset provides a resource to investigate depot-specific and temperature-dependent proteomic changes associated with adipose myoglobin deficiency.