Ambient thermal conditions mediate insect growth, development, reproduction, survival, and distribution. With increasingly frequent and severe cold spells, it is critical to determine low-temperature performance and cold tolerances of ecologically and economically essential insect groups to predict their responses to global environmental change. This review covers the cold tolerance strategies of 49 species of Lepidoptera (moths and butterflies), focusing on species that are known as crop pests and crop storage facilities. We synthesize cold tolerance strategies of well-studied species within this order, finding that diapause is a distinctive mechanism that has independently evolved in different genera and families of Lepidoptera. However, the occurrence of diapause in each life stage is specific to the species, and in most studied lepidopteran species, the feeding stage (as larva) is the predominant overwintering stage. We also found that the onset of diapause and the improvement of cold tolerance are interdependent phenomena that typically occur together. Moreover, adopting a cold tolerance strategy is not an inherent, fixed trait and is greatly influenced by a species' geographic distribution and rearing conditions. This review further finds that freeze avoidance rather than freeze tolerance or chill susceptibility is the primary cold tolerance strategy among lepidopteran species. The cold hardiness of lepidopteran insects primarily depends on the accumulation of cryoprotectants and the depression of the supercooling point. We highlight variations in cold tolerance strategies and mechanisms among a subset of Lepidoptera, however, further work is needed to elucidate these strategies for the vast numbers of neglected species and populations to understand broad-scale responses to global change.