Information about the genomic processes underlying responses to temperature changes is still limited in non‐model marine invertebrates. In this sense, transcriptomic analyses can help to identify genes potentially related to thermal responses. We here investigated, via RNA‐seq, whole‐transcriptomic responses to increased and decreased temperatures in a thermophilous keystone sea urchin, Arbacia lixula, whose populations are increasing in the Mediterranean. This species is a key driver of benthic communities’ structure due to its grazing activity. We found a strong response to experimentally induced cold temperature (7°C), with 1,181 differentially expressed transcripts relative to the control condition (13°C), compared to only 179 in the warm (22°C) treatment. A total of 84 (cold treatment) and three (warm treatment) gene ontology terms were linked to the differentially expressed transcripts. At 7°C the expression of genes encoding different heat shock proteins (HSPs) was upregulated, together with apoptotic suppressor genes (e.g., Bcl2), genes involved in the infection response and/or pathogen‐recognition (e.g., echinoidin) and ATP‐associated genes, while protein biosynthesis and DNA replication pathways were downregulated. At 22°C neither HSPs induction nor activation of the previously mentioned pathways were detected, with the exception of some apoptotic‐related activities that were upregulated. Our results suggest a strong transcriptional response associated with low temperatures, and support the idea of low water temperature being a major limitation for A. lixula expansion across deep Mediterranean and northern Atlantic waters.