Extreme climate events such as heat waves are expected to increase in frequency under global change. As one indirect effect, they can alter magnitude and direction of species interactions, for example those between hosts and parasites. We simulated a summer heat wave to investigate how a changing environment affects the interaction between the broad-nosed pipefish (Syngnathus typhle) as a host and its digenean trematode parasite (Cryptocotyle lingua). In a fully reciprocal laboratory infection experiment, pipefish from three different coastal locations were exposed to sympatric and allopatric trematode cercariae. In order to examine whether an extreme climatic event disrupts patterns of locally adapted host-parasite combinations we measured the parasite's transmission success as well as the host's adaptive and innate immune defence under control and heat wave conditions. Independent of temperature, sympatric cercariae were always more successful than allopatric ones, indicating that parasites are locally adapted to their hosts. Hosts suffered from heat stress as suggested by fewer cells of the adaptive immune system (lymphocytes) compared to the same groups that were kept at 18°C. However, the proportion of the innate immune cells (monocytes) was higher in the 18°C water. Contrary to our expectations, no interaction between host immune defence, parasite infectivity and temperature stress were found, nor did the pattern of local adaptation change due to increased water temperature. Thus, in this host-parasite interaction, the sympatric parasite keeps ahead of the coevolutionary dynamics across sites, even under increasing temperatures as expected under marine global warming.