We investigate the dynamics of a small long-range interacting system, in contact with a large long-range thermal bath. Our analysis reveals the existence of striking anomalies in the energy flux between the bath and the system. In particular, we find that the evolution of the system is not influenced by the kinetic temperature of the bath, as opposed to what happens for short-range collisional systems. As a consequence, the system may get hotter also when its initial temperature is larger than

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... he bath temperature. This observation is explained quantitatively in the framework of the collisionless Vlasov description of toy models with long-range interactions and shown to be valid whenever the Vlasov picture applies, from cosmology to plasma physics.