Theory predicts that geographic variation in traits and genes associated with climatic adaptation may be initially driven by the correlated evolution of thermal preference and thermal sensitivity. This assumes that an organism’s preferred body temperature corresponds with the thermal optimum in which performance is maximized; hence, shifts in thermal preferences affect the subsequent evolution of thermal-related traits. Drosophila subobscura evolved worldwide latitudinal clines in several traits including chromosome inversion frequencies, with some polymorphic inversions being apparently associated with thermal preference and thermal tolerance. Here we show that flies carrying the warm-climate chromosome arrangement O3+4 have higher basal protein levels of Hsp70 than their cold-climate Ost counterparts, but this difference disappears after heat hardening. O3+4 carriers are also more heat tolerant, although it is difficult to conclude from our results that this is causally linked to their higher basal levels of Hsp70. The observed patterns are consistent with the thermal co-adaptation hypothesis and suggest that the interplay between behaviour and physiology underlies latitudinal and seasonal shifts in inversion frequencies.