Given the threat of climate change to biodiversity, a growing number of studies are investigating the potential for organisms to adapt to rising temperatures through changes in their physiology, morphology, and behaviour. Earlier work has predicted that evolutionary adaptation to climate change will be accompanied by a shift in temperature preferences, but empirical evidence for this is limited. Here, we test whether exposure to a warm environment over multiple generations has led to the evolution of higher preferred temperatures in the wild. We have taken advantage of a ‘natural experiment’ in Iceland, where freshwater populations of threespine sticklebacks (Gasterosteus aculeatus) are found in waters warmed by geothermal activity year-round (warm habitats), adjacent to populations in ambient-temperature lakes (cold habitats). We hypothesised that sticklebacks from warm habitats would prefer higher water temperatures than those from cold habitats, but we found no support for this hypothesis. Fish from both warm and cold habitats had an average preferred temperature of 13°C, which is considerably lower than the temperatures experienced by fish in warm habitats for most of the year. Our results therefore challenge the assumption that temperature preferences in ectotherms will readily evolve as a response to climate change. Furthermore, the fact that warm-habitat fish are able to persist at relatively high temperatures despite a lower temperature preference suggests that preferred temperature may be a poor indicator of a population’s evolutionary potential and capacity to adapt to a novel thermal environment.