AbstractClimate change projections predict warmer temperatures and increased frequency of heat waves in many regions across the globe. These scenarios are expected to strongly impact temperature‐dependent life‐history traits of aquatic species, such as the embryonic stage of annual fishes inhabiting temporary freshwater wetlands. Here, we assessed the effects of different incubation temperatures (18, 24, 27 and 30°C) and exposure to heat waves (18–30°C for 6 h) on aspects of the embryonic development: mortality and trajectory (direct development or diapause entry) of two Neotropical species of annual fishes from high‐ (Austrolebias nubium) and low‐altitude (A. cyaneus) areas. Temperatures of 30°C resulted in 100% embryo mortality in both species, and development trajectory differed between species across temperatures. Embryo mortality in the high‐altitude species was higher at 27°C, while a higher number of embryos of the low‐altitude species entered diapause II at 18°C. Embryo mortality and development trajectory after exposure to heat waves were similar between species. In terms of implications for climate change scenarios, temperatures above 27°C seem critical for the embryo survival of both species studied, although they seem capable to endure short‐term events of heat waves. In summary, our results indicate that the persistence of populations of high‐altitude annual fish species may be subject to higher threat under warming scenarios, since embryos from this species were more sensitive to increasing temperatures than the low‐altitude species.