Strong sexual selection has been reported to both enhance and hinder the adaptive capacity and persistence of populations when exposed to novel environments. Consequently, how sexual selection influences population adaption and persistence under stress remains widely debated. Here we present two empirical investigations of the fitness consequences of sexual selection on populations of the Indian meal moth, Plodia interpunctella, exposed to stable or gradually increasing temperatures. When faced with increasing temperatures strong sexual selection was associated with both increased fecundity and offspring survival compared to populations experiencing weak sexual selection, suggesting sexual selection acts to drive adaptive evolution by favouring beneficial alleles. Strong sexual selection did not, however, delay extinction when the temperature became excessively high. By manipulating individuals’ mating opportunities during fitness assays we were able to assess the effect of multiple mating independently from the effect of population-level sexual selection, and found that polyandry has a positive effect on both fecundity and offspring survival under increasing temperatures in those populations evolving with weak sexual selection. Within stable temperatures there were some benefits from strong sexual selection but these were not consistent across the entire experiment, possibly reflecting changing costs and benefits of sexual selection under stabilising and directional selection. These results indicate that sexual selection can provide a buffer against climate change and increase adaptation rates within a continuously changing environment. These positive effects of sexual selection may however be too small to protect populations and delay extinction when environmental changes are relatively rapid.