Pre‐exposure to mild heat stress enhances the thermotolerance of insects. Stress hardening is a beneficial physiological plasticity, but the mechanism underlying it remains elusive. Here we report that reactive oxygen species (ROS) concentrations were quickly and transiently elevated in the armyworms, Mythimna separata, by exposing them to 40°C, but not other tested temperatures. Larvae exposed to 40°C had subsequently elevated antioxidant activity and the highest survival of all tested heating conditions. The elevation of ROS after lethal heating at 44°C for 1 h was approximately twofold compared to heating at 40°C. Injection of an optimal amount of hydrogen peroxide (H2O2) similarly caused sequential elevation of ROS and antioxidant activity in the test larval hemolymph, which led to significantly enhanced survival after lethal heat stress. The H2O2‐induced thermotolerance was abolished by coinjection of potent antioxidants such as ascorbic acid or N‐acetylcysteine. Both preheating at 40°C and H2O2 injection enhanced expression of genes encoding superoxide dismutase 1, catalase, and heat shock protein 70 in the fat body of test larvae, indicating the adequate heat stress induced a transient elevation of ROS, followed by upregulation of antioxidant activity. We infer that thermal stress hardening is induced by a small timely ROS elevation that triggers a reduction–oxidation signaling mechanism.