In the context of climate change, there is a sustained interest in understanding better the functional mechanisms by which marine ectotherms maintain their physiological scope and define their ability to cope with thermal changes in their environment. Here, we present evidence that the variable shrimp Palaemonetes varians shows genuine acclimation capacities of both the thermal limit (CT(max)) and the heat shock response (hsp70 induction temperature). During cold acclimation to 10 °C, the time lag to adjust the stress gene expression to the current environmental temperature proved to exceed 1 week, thereby highlighting the importance of long-term experiments in evaluating the species' acclimation capacities. Cold and warm-acclimated specimens of P. varians can mobilise the heat shock response (HSR) at temperatures above those experienced in nature, which suggests that the species is potentially capable of expanding its upper thermal range. The shrimp also survived acute heat shock well above its thermal limit without subsequent induction of the HSR, which is discussed with regard to thermal adaptations required for life in highly variable environments.