Behavioural plasticity can drive the evolution of new traits in animals. In oviparous species, plasticity in oviposition behaviour could promote the evolution of new egg traits by exposing them to different selective pressures in novel oviposition sites. Individual females of the predatory stink bug Podisus maculiventris are able to selectively colour their eggs depending on leaf side, laying lightly pigmented eggs on leaf undersides and more pigmented eggs, which are more resistant to ultraviolet (UV) radiation damage, on leaf tops. Here, we propose an evolutionary scenario for P. maculiventris egg pigmentation and its selective application. We experimentally tested the influence of several ecological factors that: (i) could have favoured a behavioural shift towards laying eggs on leaf tops and thus the evolution of a UV-protective egg pigment (i.e. exploitation of enemy-reduced space or a thermoregulatory benefit) and (ii) could have subsequently led to the evolution of selective pigment application (i.e. camouflage or costly pigment production). We found evidence that a higher predation pressure on leaf undersides could have caused a shift in oviposition effort towards leaf tops. We also found the first evidence of an insect egg pigment providing a thermoregulatory advantage. Our study contributes to an understanding of how plasticity in oviposition behaviour could shape the responses of organisms to ecological factors affecting their reproductive success, spurring the evolution of new morphological traits.