Spodoptera frugiperda (Lepidoptera: Noctuidae) is a highly destructive invasive pest with remarkable adaptability to extreme climatic conditions, posing a substantial global threat. Although the effects of temperature stress on the biological and ecological properties of S. frugiperda have been elucidated, the molecular mechanisms underlying its responses remain unclear. Herein, we combined transcriptomic and proteomic analyses to explore the key genes and proteins involved in thermotolerance regulation in S. frugiperda larvae at 42 °C. Overall, 1528 differentially expressed genes (DEGs) and 154 differentially expressed proteins (DEPs) were identified in S. frugiperda larvae under heat stress, including antioxidant enzymes, heat shock proteins (Hsps), cytochrome P450s, starch and sucrose metabolism genes, and insulin signaling pathway genes, indicating their involvement in heat tolerance regulation. Correlation analysis of DEGs and DEPs revealed that seven and eight had the same and opposite expression profiles, respectively. After nanocarrier-mediated RNA interference knockdown of SfHsp29, SfHsp20.4, SfCAT, and SfGST, the body weight and mortality of S. frugiperda larvae significantly decreased and increased under heat stress, respectively. This indicates that SfHsp29, SfHsp20.4, SfCAT, and SfGST play a crucial role in the thermotolerance of S. frugiperda larvae. These results provide insight into the mechanism of heat tolerance in S. frugiperda.