Thermal limits in ectotherms may arise through a mismatch between supply and demand of oxygen. At higher temperatures, the ability of their cardiac and ventilatory activities to supply oxygen becomes insufficient to meet their elevated oxygen demand. Consequently, higher levels of oxygen in the environment are predicted to enhance tolerance of heat, whereas reductions in oxygen are expected to reduce thermal limits. Here, we extend previous research on thermal limits and oxygen limitation in aquatic insect larvae and directly test the hypothesis of increased anaerobic metabolism and lower energy status at thermal extremes. We quantified metabolite profiles in stonefly nymphs under varying temperatures and oxygen levels. Under normoxia, the concept of oxygen limitation applies to the insects studied. Shifts in the metabolome of heat-stressed stonefly nymphs clearly indicate the onset of anaerobic metabolism (e.g., accumulation of lactate, acetate, and alanine), a perturbation of the tricarboxylic acid cycle (e.g., accumulation of succinate and malate), and a decrease in energy status (e.g., ATP), with corresponding decreases in their ability to survive heat stress. These shifts were more pronounced under hypoxic conditions, and negated by hyperoxia, which also improved heat tolerance. Perturbations of metabolic pathways in response to either heat stress or hypoxia were found to be somewhat similar but not identical. Under hypoxia, energy status was greatly compromised at thermal extremes, but energy shortage and anaerobic metabolism could not be conclusively identified as the sole cause underlying thermal limits under hyperoxia. Metabolomics proved useful for suggesting a range of possible mechanisms to explore in future investigations, such as the involvement of leaking membranes or free radicals. In doing so, metabolomics provided a more complete picture of changes in metabolism under hypoxia and heat stress.