Most models exploring the effects of climate change on mosquito‐borne disease ignore thermal adaptation. However, if local adaptation leads to changes in mosquito thermal responses, “one size fits all” models could fail to capture current variation between populations and future adaptive responses to changes in temperature. Here, we assess phenotypic adaptation to temperature in Aedes aegypti, the primary vector of dengue, Zika, and chikungunya viruses. First, to explore whether there is any difference in existing thermal response of mosquitoes between populations, we used a thermal knockdown assay to examine five populations of Ae. aegypti collected from climatically diverse locations in Mexico, together with a long‐standing laboratory strain. We identified significant phenotypic variation in thermal tolerance between populations. Next, to explore whether such variation can be generated by differences in temperature, we conducted an experimental passage study by establishing six replicate lines from a single field‐derived population of Ae. aegypti from Mexico, maintaining half at 27°C and the other half at 31°C. After 10 generations, we found a significant difference in mosquito performance, with the lines maintained under elevated temperatures showing greater thermal tolerance. Moreover, these differences in thermal tolerance translated to shifts in the thermal performance curves for multiple life‐history traits, leading to differences in overall fitness. Together, these novel findings provide compelling evidence that Ae. aegypti populations can and do differ in thermal response, suggesting that simplified thermal performance models might be insufficient for predicting the effects of climate on vector‐borne disease transmission.