Abstract High mountain areas are especially vulnerable to global warming, as they experience faster temperature changes than lowlands in a climate change context. Notably, increased temperatures and frequency of extreme flooding and droughts, and the consequent decrease in ice cover and water availability fluctuations, will induce important physical changes in alpine freshwater systems. Thus, assessing thermal limits and exploring overwintering strategies of aquatic alpine insects is pivotal to understanding how aquatic communities of high‐mountain fresh waters will respond to climate change. However, knowledge on these topics is still scarce for aquatic alpine insects. Here, the thermal biology of adults of five diving beetle species from alpine lakes located in the Sierra Nevada mountain range (southern Iberia) was studied. Cold tolerance was measured estimating the supercooling point (SCP), lower lethal temperature (LLT), tolerance to ice enclosure and to submersion, whereas heat tolerance was assessed from the heat coma temperature and upper lethal temperature. All of the species survived ice enclosure for 3 h. Furthermore, three of the studied species had SCPs higher than their LLTs, suggesting that they could be freeze‐tolerant. All species except Agabus nevadensis also were tolerant to submersion, which could be a key adaptation for overwintering underwater below the ice cover as adults, reducing risk from freezing conditions in the air. The species did not differ significantly in their upper thermal limits, which were similar to those of other dytiscids from lower altitudes. Overall, our results suggest that increasing temperatures is not expected to be the most important threat for the water beetle populations in Sierra Nevada, but rather the colonisation of alpine lakes by lowland dytiscids in a warmer climate scenario.