Temperature is a critical factor shaping physiology, life cycle, and behaviour of ectothermic vector insects, as well as the development and multiplication of pathogens within them. However, the influence of pathogen infections on thermal preferences (behavioural thermoregulation) is not well-understood. The present study examined the thermal preferences of mosquitoes (Aedes aegypti and Ae. japonicus) infected with either Sindbis virus (SINV) or Dirofilaria immitis over 12 days post exposure (p.e.) or injected with a non-pathogenic Sephadex bead over 24 h in a thermal gradient (15–30 °C). SINV-infected Ae. aegypti preferred 5 °C warmer temperatures than non-infected ones at day 6 p.e., probably the time of highest innate immune response. In contrast, D. immitis-infected Ae. japonicus preferred 4 °C cooler temperatures than non-infected ones at day 9 p.e., presumably a stress response during the migration of third instar larvae from their development site to the proboscis. Sephadex bead injection also induced a cold preference in the mosquitoes but to a level that did not differ from control-injections. The cold preference thus might be a strategy to escape the risk of desiccation caused by the wound created by piercing the thorax. Further research is needed to uncover the genetic and physiological mechanisms underlying these behaviours.