Temperature is the most pervasive abiotic environmental factor for aquatic organisms. Fluctuations in temperature range lead to changes in metabolic performance. Here, we aimed to identify whether surpassing the thermal preference zones is correlated with shifts in universal cellular stress markers of protein integrity, responses to oxidative stress and lactate content, as indicators of anaerobic metabolism. Exposure of the Lake Baikal endemic amphipod species Eulimnogammarus verrucosus (Gerstfeldt, 1858), Ommatogammarus flavus (Dybowski, 1874) and of the Holarctic amphipod Gammarus lacustris Sars 1863 (Amphipoda, Crustacea) to increasing temperatures resulted in elevated heat shock protein 70 (Hsp70) and lactate content, elevated antioxidant enzyme activities (i.e., catalase and peroxidase), and reduced lactate dehydrogenase and glutathione S-transferase activities. Thus, the zone of stability (absence of any significant changes) of the studied molecular and biochemical markers correlated with the behaviorally preferred temperatures. We conclude that the thermal behavioral responses of the studied amphipods are directly related to metabolic processes at the cellular level. Thus, the determined thermal ranges may possibly correspond to the thermal optima. This relationship between species-specific behavioral reactions and stress response metabolism may have significant ecological consequences that result in a thermal zone-specific distribution (i.e., depths, feed spectrum, etc.) of species. As a consequence, by separating species with different temperature preferences, interspecific competition is reduced, which, in turn, increases a species’ Darwinian fitness in its environment.