Abstract Temperature variation is one of the best‐known and studied factor constraining life history along the altitudinal gradients. Ectotherms such as insects are sensitive to temperature across all life stages, resulting in a wide range of adaptations in populations and species living at different elevations. In butterflies, the egg stage is particularly sensitive to temperature variation as eggs cannot move and deploy behavioural responses to overheating. Using a gradient polymerase chain reaction thermocycler to finely control temperature treatments, we tested for differences in egg heat tolerance between five closely related Coenonympha (Nymphalidae: Satyrinae) species living at different elevations. We found strong differences in egg heat tolerance ranges between lowland species (C. arcania (Linnaeus) and C. pamphilus (Linnaeus)) and two high elevation alpine species (C. gardetta (Prunner) and C. cephalidarwiniana Verity). Surprisingly, the third alpine species (C. darwiniana Staudinger) showed a heat tolerance range closer to that of the lowland species than that of alpine species. The sensitivity of eggs to overheating matched the temperature regimes recorded in the microhabitats utilised for oviposition and may explain the oviposition site selection of females observed in the wild. The narrower egg heat tolerance of some of alpine species may partly explain the position of their lower elevational limit but also raises concern about the fate of these species in the face of current climate change. Our results highlight the need to study all life stages, as well as microclimate choice for oviposition, to understand species distribution and the threats to their persistence.