Many insects are climate specialists – restricted to a narrow range of latitudes, humidity conditions and/or altitudes. Yet there are also numerous climate generalists, whose distribution might span from the tropics to temperate areas. Comparisons of related insect species normally indicate that the resistance of species to climatic extremes and reproductive output under different climatic conditions match expectations based on their distributions. Yet these patterns do not ultimately explain why climate specialists and generalists have evolved over time. Three evolutionary hypotheses that are invoked to explain climate specialisation are (1) constraints arising from antagonistic pleiotropy (costs); (2) DNA decay due to mutational processes; and (3) the difficulty of adapting due to the requirement of multidimensional changes or because of gene flow. Here I outline these hypotheses, and consider predictions and supporting evidence from several sources including polymorphism studies, quantitative genetic studies, species comparisons and genomic comparisons. All three explanations are likely to contribute to climate specialisation and the DNA decay/multidimensional adaptation hypotheses deserve more consideration.