Because key nutritional processes differ in their thermal optima, ectotherms may use temperature selection to optimize performance in changing nutritional environments. Such behaviour would be especially advantageous to small terrestrial animals, which have low thermal inertia and often have access to a wide range of environmental temperatures over small distances. Using the locust, Locusta migratoria, we have demonstrated a direct link between nutritional state and thermoregulatory behaviour. When faced with chronic restrictions to the supply of nutrients, locusts selected increasingly lower temperatures within a gradient, thereby maximizing nutrient use efficiency at the cost of slower growth. Over the shorter term, when locusts were unable to find a meal in the normal course of ad libitum feeding, they immediately adjusted their thermoregulatory behaviour, selecting a lower temperature at which assimilation efficiency was maximal. Thus, locusts use fine scale patterns of movement and temperature selection to adjust for reduced nutrient supply and thereby ameliorate associated life-history consequences.