Traits of physiological thermotolerance are commonly measured in the laboratory as predictors of the field success of ectotherms at unfavourable temperatures (e.g. during harsh winters, heatwaves, or under conditions of predicted global warming). Due to being more complicated to measure, behavioural thermoregulation is less commonly studied, although both physiology and behaviour interact to explain the survival of ectotherms. The aphids Metopolophium dirhodum, Rhopalosiphum padi and Sitobion avenae are commercially important pests of temperate cereal crops. Although coexisting, these species markedly differ in winter success, with R. padi being the most abundant species during cold winters, followed by S. avenae and lastly M. dirhodum. To better understand the thermal physiology and behavioural factors contributing to differential winter success, the lethal temperature (physiological thermotolerance) and the behaviour of aphids in a declining temperature regime (behavioural thermotolerance) of these three species were investigated. Physiological thermotolerance significantly differed between the three species, with R. padi consistently the least cold tolerant and S. avenae the most cold tolerant. However, although the least cold tolerant of the study species, significantly more R. padi remained attached to the host plant at extreme sub-zero temperatures than S. avenae and M. dirhodum. Given the success of anholocyclic R. padi in harsh winters compared to its anholocyclic counterparts, this study illustrates that behavioural differences could be more important than physiological thermotolerance in explaining resistance to extreme temperatures. Furthermore it highlights that there is a danger to studying physiological thermotolerance in isolation when ascertaining risks of ectotherm invasions, the establishment potential of exotic species in glasshouses, or predicting species impacts under climate change scenarios.