Understanding the evolution of adaptive plasticity is fundamental to our knowledge of how organisms interact with their environments and cope with environmental change. Plasticity in melanin pigmentation is common in response to variable environments, especially thermal environments. Yet, the adaptive significance of melanin plasticity in thermally variable environments is often assumed, but rarely explicitly tested. Furthermore, understanding the role of plasticity when a trait is responsive to multiple environmental stimuli and plays many functional roles remains poorly understood. We test the hypothesis that melanin plasticity is an adaptation for thermally variable environments using Hyles lineata, the white-lined sphinx moth, which shows plasticity in melanin pigmentation during the larval stage. Melanin pigmentation influences thermal traits in H. lineata, as melanic individuals had higher heating rates and reached higher body temperatures than non-melanic individuals. Importantly, melanin pigmentation has temperature specific fitness consequences. While melanic individuals had an advantage in cold temperatures, neither phenotype had a clear fitness advantage at warm temperatures. Thus, the costs associated with melanin production may be unrelated to thermal context. Our results highlight the importance of explicitly testing the adaptive role of plasticity and considering all the factors that influence costs and benefits of plastic phenotypes across environments.