A mismatch between oxygen availability and metabolic demand may constrain thermal tolerance. While considerable support for this idea has been found in marine organisms, results from insects are equivocal and raise the possibility that mode of gas exchange, oxygen safety margins and the physico-chemical properties of the gas medium influence heat tolerance estimates. Here, we examined critical thermal maximum (CT max ) and aerobic scope under altered oxygen supply and in two life stages that varied in metabolic demand in Bombyx mori (Lepidoptera: Bombycidae). We also systematically examined the influence of changes in gas properties on CT max . Larvae have a lower oxygen safety margin (higher critical oxygen partial pressure at which metabolism is suppressed relative to metabolic demand) and significantly higher CT max under normoxia than pupae (53°C vs 50°C). Larvae, but not pupae, were oxygen limited with hypoxia (2.5 kPa) decreasing CT max significantly from 53 to 51°C. Humidifying hypoxic air relieved the oxygen limitation effect on CT max in larvae, whereas variation in other gas properties did not affect CT max . Our data suggest that oxygen safety margins set thermal limits in air-breathing invertebrates and the magnitude of this effect potentially reconciles differences in oxygen limitation effects on thermal tolerance found among diverse taxa to date.