Insects are currently subjected to unprecedented thermal stress due to recent increases in the frequency and amplitude of temperature extremes. Understanding molecular responses to thermal stress is critically important to appreciate how species react to thermal stress. Three co-occurring cosmopolitan species are found within the guild of cereal aphids: Sitobion avenae, Ropalosiphum padi and Metopolophium dirhodum. Earlier reports have shown that increasing frequency of temperature extremes causes a shift in dominant species within guilds of cereal aphids by differently altering the population’s growth. We hypothesize that a differential molecular response to stress among species may partially explain these changes. Heat shock proteins (HSPs) are molecular chaperones well known to play an important role in protecting against the adverse effects of thermal stress. However, few studies on molecular chaperones have been conducted in cereal aphids. In this study, we compared the heat and cold tolerance between three aphid species by measuring the median lethal time (Lt50) and examined the expression profiles of seven hsp genes after exposures to comparable thermal injury levels and also after same exposure durations. Results showed that R. padi survived comparatively better at high temperatures than the two other species but was more cold-sensitive. Hsp genes were induced more strongly by heat than cold stress. Hsp70A was the most strongly up-regulated gene in response to both heat and cold stress. R. padi had more heat inducible genes and significantly higher mRNA levels of hsp70A, hsp10, hsp60 and hsp90 than the other two species. Hsps ceased to be expressed at 37 °C in M. dirhodum and S. avenae while expression was maintained in R. padi. In contrast, M. dirhodum was more cold tolerant and had more cold inducible genes than the others. These results confirm species-specific differences in molecular stress responses and suggest that differences in induced expression of hsps may be related to species’ thermal tolerance, thus causing the changes in the relative abundance.