Terrestrial arthropods, at constant risk from desiccation, are highly sensitive to atmospheric temperature and humidity. A physiological marker of these abiotic conditions could highlight phenotypic adaptations, indicate niche partitioning, and predict responses to climate change for a group representing three-quarters of the Earth's animal species. We show that the¹⁸O composition of insect haemolymph is such a measure, providing a dynamic and quantitatively predictable signal for respiratory gas exchange and inputs from atmospheric humidity. Using American cockroaches (Periplaneta americana) under defined experimental conditions, we show that insects respiring at low humidity demonstrate the expected enrichment in the¹⁸O composition of haemolymph because of evaporation. At high humidity, however, diffusionalinfluxof atmospheric water vapour into the animal forces haemolymph to become depleted in¹⁸O. Additionally, using cockroaches sampled from natural habitats, we show that the haemolymph¹⁸O signature is transferred to the organic material of the insect's exoskeleton. Insect cuticle, therefore, exhibits the mean atmospheric conditions surrounding the animals prior to moulting. This discovery will help to define the climatic tolerances of species and their habitat preferences, and offers a means of quantifying the balance between niche partitioning and ‘neutral’ processes in shaping complex tropical forest communities.