The gradual heterogeneity of climatic factors poses varying selection pressures across geographic distances that leave signatures of clinal variation in the genome. Separating signatures of clinal adaptation from signatures of other evolutionary forces, such as demographic processes, genetic drift and adaptation, to nonclinal conditions of the immediate local environment is a major challenge. Here, we examine climate adaptation in five natural populations of the harlequin fly Chironomus riparius sampled along a climatic gradient across Europe. Our study integrates experimental data, individual genome resequencing, Pool-Seq data and population genetic modelling. Common-garden experiments revealed significantly different population growth rates at test temperatures corresponding to the population origin along the climate gradient, suggesting thermal adaptation on the phenotypic level. Based on a population genomic analysis, we derived empirical estimates of historical demography and migration. We used an F outlier approach to infer positive selection across the climate gradient, in combination with an environmental association analysis. In total, we identified 162 candidate genes as genomic basis of climate adaptation. Enriched functions among these candidate genes involved the apoptotic process and molecular response to heat, as well as functions identified in studies of climate adaptation in other insects. Our results show that local climate conditions impose strong selection pressures and lead to genomic adaptation despite strong gene flow. Moreover, these results imply that selection to different climatic conditions seems to converge on a functional level, at least between different insect species.