Background Thermotolerant yeast has outstanding potential in industrial applications. Komagataella phaffii (Pichia pastoris) is a common cell factory for industrial production of heterologous proteins. Results Herein, we obtained a thermotolerant K. phaffii mutant G14 by mutagenesis and adaptive evolution. G14 exhibited oxidative and thermal stress cross-tolerance and high heterologous protein production efficiency. The reactive oxygen species (ROS) level and lipid peroxidation in G14 were reduced compared to the parent. Oxidative stress response (OSR) and heat shock response (HSR) are two major responses to thermal stress, but the activation of them was different in G14 and its parent. Compared with the parent, G14 acquired the better performance owing to its stronger OSR. Peroxisomes, as the main cellular site for cellular ROS generation and detoxification, had larger volume in G14 than the parent. And, the peroxisomal catalase activity and expression level in G14 was also higher than that of the parent. Excitingly, the gene knockdown of CAT encoding peroxisomal catalase by dCas9 severely reduced the oxidative and thermal stress cross-tolerance of G14. These results suggested that the augmented OSR was responsible for the oxidative and thermal stress cross-tolerance of G14. Nevertheless, OSR was not strong enough to protect the parent from thermal stress, even when HSR was initiated. Therefore, the parent cannot recover, thereby inducing the autophagy pathway and resulting in severe cell death. Conclusions Our findings indicate the importance of peroxisome and the significance of redox balance in thermotolerance of yeasts.