The hyperiid amphipod Phronima sedentaria experiences a temperature change of 15 °C during diel migration in the Eastern Tropical North Pacific (ETNP) from 8–10 °C at depth to 25–27 °C at night in the surface waters. The aim of this study was to determine if the natural temperature gradient experienced by P. sedentaria results in a thermal stress response. Individuals were initially exposed to their night time temperatures (23 °C) and subsequently subjected to temperatures within and above the range they typically experience. In the Eastern Tropical North Pacific P. sedentaria tolerates its normal night-time temperature (~ 23 °C), but only for the duration of its stay there (~ 9 h). Longer exposures (24 h) result in elevated heat shock protein (hsp) expression. 29 °C results in hsp expression, increased lactate production and 50% mortality at all exposure durations. This represents an upper critical temperature. Understanding the adaptations of pelagic amphipods to their current environment will help predict the physiological impacts of global warming for amphipods and their predators.