Changes to ambient temperatures under climate change may detrimentally impact small ectotherms that rely on their environment for thermoregulation; however, there is currently a limited understanding of insect larval thermoregulation. As holometabolous insects, Lepidoptera differ in morphology, ecology and behaviour across the life cycle, and so it is likely that adults and larvae differ in their capacity to thermoregulate. In this study, we investigated the thermoregulatory capacity (buffering ability) of 14 species of day-flying Lepidoptera, whether this is influenced by body length or gregariousness, and whether it differs between adult and larval life stages. We also investigated what thermoregulation mechanisms are used: microclimate selection (choosing locations with a particular temperature) or behavioural thermoregulation (controlling temperature through other means, such as basking). We found that Lepidoptera larvae differ in their buffering ability between species and body lengths, but gregariousness did not influence buffering ability. Larvae are worse at buffering themselves against changes in air temperature than adults. Therefore Lepidoptera may be more vulnerable to adverse temperature conditions during their larval life stage. Adults and larvae rely on different thermoregulatory mechanisms; adults primarily use behavioural thermoregulation, whereas larvae use microclimate selection. This implies that larvae are highly dependent on the area around their foodplant for effective thermoregulation. These findings have implications for the management of land and species, for example, highlighting the importance of creating and preserving microclimates and vegetation complexity surrounding Lepidoptera foodplants for larval thermoregulation under future climate change.