Prolonged diapause occurs in a number of insects and is interpreted as a way to evade adverse conditions. The winter pine processionary moths ( Thaumetopoea pityocampa and Th. wilkinsoni ) are important pests of pines and cedars in the Mediterranean region. They are typically univoltine, with larvae feeding across the winter, pupating in spring in the soil and emerging as adults in summer. Pupae may, however, enter a prolonged diapause with adults emerging one or more years later. We tested the effect of variation in winter temperature on the incidence of prolonged diapause, using a total of 64 individual datasets related to insect cohorts over the period 1964–2015 for 36 sites in seven countries, covering most of the geographic range of both species. We found high variation in prolonged diapause incidence over their ranges. At both lower and upper ends of the thermal range in winter, prolonged diapause tended to be higher than at intermediate temperatures. Prolonged diapause may represent a risk-spreading strategy to mitigate climate uncertainty, although it may increase individual mortality because of a longer exposure to mortality factors such as predation, parasitism, diseases or energy depletion. Climate change, and in particular the increase of winter temperature, may reduce the incidence of prolonged diapause in colder regions whereas it may increase it in warmer ones, with consequences for population dynamics.