Fish–parasite systems could be subject to two scenarios under climate change: (i) increased water temperature might enhance parasite metabolism, allowing the parasite to spread rapidly; (ii) parasitism could decrease if the optimal temperature for growth and transmission is exceeded. Sea lice are parasitic copepods commonly found on marine fish in tropical regions, yet their biology remains poorly investigated. In this study, we analyzed the changes in infection levels and the transcriptomic response of the tropical sea louse Caligus confusus to two seasonal seawater temperatures (30 °C, “warm”, and 21 °C, “cold”). The prevalence of C. confusus was significantly higher in the colder water. A de novo transcriptomic analysis of C. confusus, the first for a tropical sea louse, revealed 426 over-expressed and 1402 down-expressed transcripts at the lower temperature. In particular, we observed over-expression of transcripts encoding vitellogenins (vit-1, vit-2, vit-4, and vit-6) and matrix metalloproteinases (mmp-2 and mmp-9), which are involved in reproduction and development. These results suggest that the cold tropical season physiologically favors C. confusus and that low temperature favors embryo development, which might ultimately lead to a higher prevalence. It is possible, therefore, that climate change could reduce some tropical sea lice populations during extreme warming events.