Ambient temperature (Ta) is a critical abiotic factor for insects that cannot maintain a constant body temperature (Tb). Interestingly, Ta varies during the day, between seasons and habitats; insects must constantly cope with these variations to avoid reaching the deleterious effects of thermal stress. To minimize these risks, insects have evolved a set of physiological and behavioral thermoregulatory processes as well as molecular responses that allow them to survive and perform under various thermal conditions. These strategies range from actively seeking an adequate environment, to cooling down through the evaporation of body fluids and synthesizing heat shock proteins to prevent damage at the cellular level after heat exposure. In contrast, endothermy may allow an insect to fight parasitic infections, fly within a large range of Ta and facilitate nest defense. Since May (1979), Casey (1988) and Heinrich (1993) reviewed the literature on insect thermoregulation, hundreds of scientific articles have been published on the subject and new insights in several insect groups have emerged. In particular, technical advancements have provided a better understanding of the mechanisms underlying thermoregulatory processes. This present Review aims to provide an overview of these findings with a focus on various insect groups, including blood-feeding arthropods, as well as to explore the impact of thermoregulation and heat exposure on insect immunity and pathogen development. Finally, it provides insights into current knowledge gaps in the field and discusses insect thermoregulation in the context of climate change.