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Simple Summary: Investigating the adaptive mechanism of insects to different and ecologically relevant temperatures can help in prediction of abundances and control of pests. Here, we found that both heat and cold stresses significantly affected the survival of eggs, larvae, pupae, and adults as well as the reproductive fitness of both sexes in Spodoptera frugiperda. Further, based on differential transcriptome analysis in adults, we found that temperature stresses induced sex-specific transcriptional responses that were related to heat or cold detection and resistance, suggesting that male and female moths may adopt different strategies to cope with heat and cold stresses. The results of this study suggest that the negative effects of cold and heat stresses on survival and reproduction may be the consequence of damage to the insect body and cellular microenvironment caused by thermal stress as well as indirect effects from increased expenditure on anti-stress responses. This study provides new information for understanding the stress responses of moths and contributes to the adaptive prediction and control of this pest. In this study, we found that both heat and cold stresses significantly affected the survival and reproduction of both sexes in Spodoptera frugiperda adults, with larvae showing relatively higher extreme temperature tolerance. Further transcriptomic analysis in adults found remarkable differences and similarities between sexes in terms of temperature stress responses. Metabolism-related processes were suppressed in heat stressed females, which did not occur to the same extend in males. Moreover, both heat and cold stress reduced immune activities in both sexes. Heat stress induced the upregulation of many heat shock proteins in both sexes, whereas the response to cold stress was insignificant. More cold tolerance-related genes, such as cuticle proteins, UDP-glucuronosyltransferase, and facilitated trehalose transporter Tret1, were found upregulated in males, whereas most of these genes were downregulated in females. Moreover, a large number of fatty acid-related genes, such as fatty acid synthases and desaturases, were differentially expressed under heat and cold stresses in both sexes. Heat stress in females induced the upregulation of a large number of zinc finger proteins and reproduction-related genes; whereas cold stress induced downregulation in genes linked to reproduction. In addition, TRPA1-like encoding genes (which have functions involved in detecting temperature changes) and sex peptide receptor-like genes were found to be differentially expressed in stressed moths. These results indicate sex-specific heat and cold stress responses and adaptive mechanisms and suggest sex-specific trade-offs between stress-resistant progresses and fundamental metabolic processes as well as between survival and reproduction. [ABSTRACT FROM AUTHOR]