The African malaria mosquito Anopheles gambiae is polymorphic for chromosomal inversion 2La, whose frequency strongly correlates with degree of aridity across environmental gradients. Recent physiological studies have associated 2La with resistance to desiccation in adults and thermal stress in larvae, consistent with its proposed role in aridity tolerance. However, the genetic basis of these traits remains unknown. To identify genes that could be involved in the differential response to thermal stress, we compared global gene expression profiles of heat-hardened 2La or 2L+(a) larvae at three time points, for up to eight hours following exposure to the heat stress. Treatment and control time series, replicated four times, revealed a common and massive induction of a core set of heat-shock genes regardless of 2La orientation. However, clear differences between the 2La and 2L+(a) arrangements emerged at the earliest (0.25 h) time point, in the intensity and nature of the stress response. Overall, 2La was associated with the more aggressive response: larger numbers of genes were heat responsive and up-regulated. Transcriptionally induced genes were enriched for functions related to ubiquitin-proteasomal degradation, chaperoning and energy metabolism. The more muted transcriptional response of 2L+(a) was largely repressive, including genes involved in proteolysis and energy metabolism. These results may help explain the maintenance of the 2La inversion polymorphism in An. gambiae, as the survival benefits offered by high thermal sensitivity in harsh climates could be offset by the metabolic costs of such a drastic response in more equable climates.