Testing fluctuating rather than constant temperatures is likely to produce more realistic datasets, as they are ecologically more similar to what arthropods experience in nature. In this study, we evaluated the impact of three constant thermal regimes (7, 12, and 17 °C) and one fluctuating thermal regime (7–17 °C with a mean of 12 °C) on fitness indicators in the rosy apple aphid Dysaphis plantaginea, a major pest of apple orchards, and the parasitoid Aphidius matricariae, one of its natural enemies used in mass release biological control strategies. For some—but not all—traits, the fluctuating 7–17 °C regime was beneficial to insects compared to the constant 12 °C regime. Both aphid and parasitoid development times were shortened under the fluctuating regime, and there was a clear trend towards an increased longevity under the fluctuating regime. The fecundity, mass, and size were affected by the mean temperature, but only the mass of aphids was higher at 7–17 °C than at a constant 12 °C. Parasitism rates, but not emergence rates, were higher under the fluctuating regime than under the constant 12 °C regime. Results are discussed within the framework of insect thermal ecology and Jensen’s inequality. We conclude that incorporating thermal fluctuations in ecological studies could allow for the more accurate consideration of how temperature affects host–parasitoid interactions and insect responses to temperature change over time.