Climate changes with global warming associated with rising atmospheric [CO2] can strongly impact crop performance, including coffee, which is one of the most world’s traded agricultural commodities. Therefore, it is of utmost importance to understand the mechanisms of heat tolerance and the potential role of elevated air CO2 (eCO2) in the coffee plant response, particularly regarding the antioxidant and other protective mechanisms, which are crucial for coffee plant acclimation. For that, plants of Coffea arabica cv. Geisha 3, cv. Marsellesa and their hybrid (Geisha 3 × Marsellesa) were grown for 2 years at 25/20 °C (day/night), under 400 (ambient CO2, aCO2) or 700 µL (elevated CO2, eCO2) CO2 L−1, and then gradually submitted to a temperature increase up to 42/30 °C, followed by recovery periods of 4 (Rec4) and 14 days (Rec14). Heat (37/28 °C and/or 42/30 °C) was the major driver of the response of the studied protective molecules and associated genes in all genotypes. That was the case for carotenoids (mostly neoxanthin and lutein), but the maximal (α + β) carotenes pool was found at 37/28 °C only in Marsellesa. All genes (except VDE) encoding for antioxidative enzymes (catalase, CAT; superoxide dismutases, CuSODs; ascorbate peroxidases, APX) or other protective proteins (HSP70, ELIP, Chape20, Chape60) were strongly up-regulated at 37/28 °C, and, especially, at 42/30 °C, in all genotypes, but with maximal transcription in Hybrid plants. Accordingly, heat greatly stimulated the activity of APX and CAT (all genotypes) and glutathione reductase (Geisha3, Hybrid) but not of SOD. Notably, CAT activity increased even at 42/30 °C, concomitantly with a strongly declined APX activity. Therefore, increased thermotolerance might arise through the reinforcement of some ROS-scavenging enzymes and other protective molecules (HSP70, ELIP, Chape20, Chape60). Plants showed low responsiveness to single eCO2 under unstressed conditions, while heat promoted changes in aCO2 plants. Only eCO2 Marsellesa plants showed greater contents of lutein, the pool of the xanthophyll cycle components (V + A + Z), and β-carotene, compared to aCO2 plants at 42/30 °C. This, together with a lower CAT activity, suggests a lower presence of H2O2, likely also associated with the higher photochemical use of energy under eCO2. An incomplete heat stress recovery seemed evident, especially in aCO2 plants, as judged by the maintenance of the greater expression of all genes in all genotypes and increased levels of zeaxanthin (Marsellesa and Hybrid) relative to their initial controls. Altogether, heat was the main response driver of the addressed protective molecules and genes, whereas eCO2 usually attenuated the heat response and promoted a better recovery. Hybrid plants showed stronger gene expression responses, especially at the highest temperature, when compared to their parental genotypes, but altogether, Marsellesa showed a greater acclimation potential. The reinforcement of antioxidative and other protective molecules are, therefore, useful biomarkers to be included in breeding and selection programs to obtain coffee genotypes to thrive under global warming conditions, thus contributing to improved crop sustainability.