There is mounting evidence that the widespread phenotypic changes in response to urbanization may reflect adaptations caused by rapid evolutionary processes driven by urban‐related stressors. Compared to increased habitat fragmentation and pollution, adaptations towards another typical urban‐related stressor, that is higher and longer lasting very high temperatures (heat waves), are much less studied. Notably, the sensitivities to heat waves of life‐history traits and important fitness‐related physiological traits such as immune responsiveness and bioenergetic variables (energy availability, energy consumption and their balance) have never been contrasted between urban and rural populations. By conducting a laboratory common‐garden experiment, we compared effects of a simulated heat wave on life history (survival and growth rate), immune responsiveness and bioenergetic variables between three urban and three rural populations of the damselfly Coenagrion puella. Because energy‐mediated trade‐off patterns may only be detected under energetically costly manipulations, all larvae were immune‐challenged by simulating ectoparasitism by water mites. As expected, the simulated heat wave caused negative effects on nearly all response variables. The immune responsiveness, on the other hand, increased under the heat wave, consistent with a trade‐off pattern between immune function and growth, and this similarly between urban and rural populations. A key finding was that urban larvae suffered less from the simulated heat wave compared to the rural larvae in terms of a lower heat wave‐induced depletion in energy availability. This suggests an adaptation of urban populations to better cope with the stronger and more frequent heat waves in cities. Notably, this urbanization‐driven evolution in the bioenergetic variables was not apparent in the absence of a heat wave. Given that changes in energy budgets have strong fitness consequences, our findings suggest that the evolved higher ability to cope with heat waves is fundamental for the survival of urban damselfly populations.