It has been largely accepted that the cognitive abilities of disease vector insects may have drastic consequences on parasite transmission. However, despite the research effort that has been invested in the study of learning and memory in haematophagous insects, hitherto few conclusive results have been obtained. Adapting procedures largely validated in Drosophila, honeybees and butterflies, we demonstrate here that the proboscis extension response (PER) of the haematophagous insect Rhodnius prolixus can be modulated by non-associative (habituation) and associative (aversive conditioning) learning forms. Thermal stimuli were used as both unconditional stimulus (appetitive temperatures) and negative reinforcement (thermal shock). In the first part of this work, the PER was habituated and dishabituated to thermal stimuli, demonstrating the true central processing of information and discarding motor fatigue or sensory adaptation. Habituation was revealed to be modulated by the spatial context. In the second part, bugs that were submitted to aversive operant conditioning stopped responding with PER to thermal stimulation more quickly than by habituation. They were able to use their training experience when tested up to 72 h later. Our work constitutes the first demonstration of PER habituation and conditioning in a blood-sucking insect and provides reproducible experimental tools for the study of the mechanisms underlying learning and memory in disease vectors.