The harmful dinoflagellate Cochlodinium polykrikoides, a species that causes mass mortality of farmed fish, uses diel vertical migration (DVM) as an ecological strategy. In summer 2018, a bloom of C. polykrikoides occurred on the southern coast of Korea when the surface water temperature exceeded 29 °C, as a result of a marine heatwave. To understand the effect of high temperature conditions on the DVM of C. polykrikoides, vertical profiles of environmental variables and the occurrence of the dinoflagellate were investigated through a 48 h field survey. In addition, a thermally stratified environment (6–12 °C difference between the surface and bottom layers) was established in a laboratory study to investigate the effect of temperature difference between water layers on the DVM of C. polykrikoides. In the field, most of the C. polykrikoides population was at a depth of 3–6 m during the day, where the water temperature was significantly lower (p < 0.01; Chi square = 57.98; Kruskal–Wallis test) than in the surface layer (0 m), and only the water temperature at 0 m was not correlated with weighted mean depth of C. polykrikoides, suggesting the usage of DVM to avoid high temperature stress. According to our field and laboratory results, there was a trend of greater DVM velocity by thermotaxis when moving from “unfavorable” water temperature (30 °C hot and 12 °C cold) to “favorable” water temperature for growth (optimal 24 °C) of C. polykrikoides. Our findings suggest that thermotaxic DVM is an important ecological strategy used by C. polykrikoides to optimize environmental conditions for growth through vertical positioning and changing migration velocity.