Ectotherms have evolved preferences for particular body temperatures, but the nutritional and life-history consequences of such temperature preferences are not well understood. We measured thermal preferences in Locusta migratoria (migratory locusts) and used a multi-factorial experimental design to investigate relationships between growth/development and macronutrient utilization (conversion of ingesta to body mass) as a function of temperature. A range of macronutrient intake values for insects at 26, 32 and 38 degrees C was achieved by offering individuals high-protein diets, high-carbohydrate diets or a choice between both. Locusts placed in a thermal gradient selected temperatures near 38 degrees C, maximizing rates of weight gain; however, this enhanced growth rate came at the cost of poor protein and carbohydrate utilization. Protein and carbohydrate were equally digested across temperature treatments, but once digested both macronutrients were converted to growth most efficiently at the intermediate temperature (32 degrees C). Body temperature preference thus yielded maximal growth rates at the expense of efficient nutrient utilization.