Agricultural insect pests display an exceptional ability to adapt quickly to natural and anthropogenic stressors. Emerging evidence suggests that frequent and varied sources of stress play an important role in driving protective physiological responses; therefore, intensively managed agroecosystems combined with climatic shifts might be an ideal crucible for stress adaptation. Cross‐protection, where responses to one stressor offers protection against another type of stressor, has been well documented in many insect species, yet the molecular and epigenetic underpinnings that drive overlapping protective responses in insect pests remain unclear. In this perspective, we discuss cross‐protection mechanisms and provide an argument for its potential role in increasing tolerance to a wide range of natural and anthropogenic stressors in agricultural insect pests. By drawing from existing literature on single and multiple stressor studies, we outline the processes that facilitate cross‐protective interactions, including epigenetic modifications, which are understudied in insect stress responses. Finally, we discuss the implications of cross‐protection for insect pest management, focusing on the consequences of cross‐protection between insecticides and elevated temperatures associated with climate change. Given the multiple ways that insect pests are intensively managed in agroecosystems, we suggest that examining the role of multiple stressors can be important in understanding the wide adaptability of agricultural insect pests. © 2022 The Authors. Pest Management Science published by John Wiley & Sons Ltd on behalf of Society of Chemical Industry.