Organisms with complex life cycles demonstrate a remarkable ability to change their phenotypes across development, presumably as an evolutionary adaptation to developmentally variable environments. Developmental variation in environmentally sensitive performance, and thermal sensitivity in particular, has been well documented in holometabolous insects. For example, thermal performance in adults and juvenile stages exhibit little genetic correlation (genetic decoupling) and can evolve independently, resulting in divergent thermal responses. Yet, we understand very little about how this genetic decoupling occurs. We tested the hypothesis that genetic decoupling of thermal physiology is driven by fundamental differences in physiology between life stages, despite a potentially conserved cellular stress response. We used RNAseq to compare transcript expression in response to a cold stressor in Drosophila melanogaster larvae and adults and used RNA interference (RNAi) to test whether knocking down nine target genes differentially affected larval and adult cold tolerance. Transcriptomic responses of whole larvae and adults during and following exposure to −5°C were largely unique both in identity of responding transcripts and in temporal dynamics. Further, we analyzed the tissue-specificity of differentially expressed transcripts from FlyAtlas 2 data, and concluded that stage-specific differences in transcription were not simply driven by differences in tissue composition. In addition, RNAi of target genes resulted in largely stage-specific and sometimes sex-specific effects on cold tolerance. The combined evidence suggests that thermal physiology is largely stage-specific at the level of gene expression, and thus natural selection may be acting on different loci during the independent thermal adaptation of different life stages.