Physiological changes associated with evolutionary and ecological processes such as diversification, range expansion or speciation are still incompletely understood, especially for non-model species. Here we study differences in protein expression in response to temperature in a western Mediterranean diving beetle species complex, using two-dimensional differential gel electrophoresis with one Moroccan and one Iberian population each of Agabus ramblae and Agabus brunneus. We identified proteins with significant expression differences after thermal treatments comparing them with a reference EST library generated from one of the species of the complex (A. ramblae). The colonisation during the Middle Pleistocene of the Iberian peninsula by A. ramblae, where maximum temperatures and seasonality are lower than in the ancestral north African range, was associated with changes in the response to 27 °C in proteins related to energy metabolism. The subsequent speciation of A. brunneus from within populations of Iberian A. ramblae was associated with changes in the expression of several stress-related proteins (mostly chaperons) when exposed to 4 °C. These changes are in agreement with the known tolerance to lower temperatures of A. brunneus, which occupies a larger geographical area with a wider range of climatic conditions. In both cases, protein expression changes paralleled the evolution of thermal tolerance and the climatic conditions experienced by the species. However, although the colonisation of the Iberian peninsula did not result in morphological change, the speciation process of A. brunneus within Iberia involved genetic isolation and substantial differences in male genitalia and body size and shape.