Climate change is intensifying the frequency and severity of extreme temperatures. Understanding the molecular mechanisms underlying the ability to cope with acute thermal stress is key for predicting species' responses to extreme temperature events. While many studies have focused on the individual roles of gene expression, post-transcriptional processes and epigenetic modifications in response to acute thermal stress, the relative contribution of these molecular mechanisms remains unclear. The wide range of thermal limits of western mosquitofish (Gambusia affinis) provides an opportunity to explore this interplay. Here, we quantified changes in gene expression, alternative splicing, DNA methylation and microRNA (miRNA) expression in muscle tissue dissected from mosquitofish immediately after reaching high (CTmax) or low thermal limit (CTmin). Although the numbers of genes showing expression and splicing changes in response to acute temperature stress were small, we found a possibly larger and non-redundant role of splicing compared to gene expression, with more genes being differentially spliced (DSGs) than differentially expressed (DEGs), and little overlap between DSGs and DEGs. We also identified a small proportion of CpGs showing significant methylation change (i.e. differentially methylated cytosines, DMCs) in fish at thermal limits; however, there was no overlap between DEGs and genes annotated with DMCs in both CTmax and CTmin experiments. The weak interplay between epigenetic modifications and gene expression was further supported by our discoveries of no differentially expressed miRNAs. These findings provide novel insights into the relative role of different molecular mechanisms underlying immediate responses to extreme temperatures and demonstrate non-concordant responses of epigenetic and transcriptional mechanisms to acute temperature stress.