Extreme climate events such as heat waves are predicted to become more frequent with climate change, representing a challenge for many organisms. The pine processionary moth Thaumetopoea pityocampa is a Mediterranean pine defoliator, which typically lays eggs during the summer. We evaluated the effects of heat waves on egg mortality of three populations with different phenologies: a Portuguese population with a classical life cycle (eggs laid in summer), an allochronic Portuguese population reproducing in spring, and a Tunisian population from the extreme southern limit of T. pityocampa distribution range, in which eggs are laid in fall. We tested the influence of three consecutive hot days on egg survival and development time, using either constant (CT) or daily cycling temperatures (DT) with equivalent mean temperatures. Maximum temperatures (T max) used in the experiment ranged from 36 to 48°C for DT and from 30 to 42°C for CT. Heat waves had a severe negative effect on egg survival when T max reached 42°C for all populations. No embryo survived above this threshold. At high mean temperatures (40°C), significant differences were observed between populations and between DT and CT regimes. Heat waves further increased embryo development time. The knowledge we gained about the upper lethal temperature to embryos of this species will permit better prediction of the potential expansion of this insect under different climate warming scenarios.