Phenotypic plasticity is frequently assumed to be an adaptive mechanism by which organisms cope with rapid changes in their environment, such as shifts in temperature regimes owing to climate change. However, despite this adaptive assumption, the nature of selection on plasticity within populations is still poorly documented. Here, we performed a systematic review and meta-analysis of estimates of selection on thermal plasticity. Although there is a large literature on thermal plasticity, we found very few studies that estimated coefficients of selection on measures of plasticity. Those that did do not provide strong support for selection on plasticity, with the majority of estimates of directional selection on plasticity being weak and non-significant, and no evidence for selection on plasticity overall. Although further estimates are clearly needed before general conclusions can be drawn, at present there is not clear empirical support for any assumption that plasticity in response to temperature is under selection. We present a multivariate mixed model approach for robust estimation of selection on plasticity and demonstrate how it can be implemented. Finally, we highlight the need to consider the environments, traits and conditions under which plasticity is (or is not) likely to be under selection, if we are to understand phenotypic responses to rapid environmental change. This article is part of the theme issue ‘The role of plasticity in phenotypic adaptation to rapid environmental change’.