We propose a thermodynamically consistent and energy-conserving temperature coupling scheme between the atomistic and the continuum domain. The coupling scheme links the two domains using the DPDE (Dissipative Particle Dynamics at constant Energy) thermostat and is designed to handle strong temperature gradients across the atomistic/continuum domain interface. The fundamentally different definitions of temperature in the continuum and atomistic domain - internal energy and heat capacity versus particle velocity - are accounted for in a straightforward and conceptually intuitive way by the DPDE thermostat. We verify the here-proposed scheme using a fluid, which is simultaneously represented as a continuum using Smooth Particle Hydrodynamics, and as an atomistically resolved liquid using Molecular Dynamics. In the case of equilibrium contact between both domains, we show that the correct microscopic equilibrium properties of the atomistic fluid are obtained. As an example of a strong non-equilibrium situation, we consider the propagation of a steady shock-wave from the continuum domain into the atomistic domain, and show that the coupling scheme conserves both energy and shock-wave dynamics. To demonstrate the applicability of our scheme to real systems, we consider shock loading of a phospholipid bilayer immersed in water in a multi-scale simulation, an interesting topic of biological relevance.