A change in temperature may be responsible for a variety of physiological stress responses in organisms, which are often associated with enhanced generation of reactive oxygen species (ROS) leading to oxidative damage. In the present study, the lipid peroxidation (LPO) levels of the oriental fruit fly, Bactrocera dorsalis (Hendel), were measured under thermal stress conditions of the relatively low (-5, -2.5, 0, and 5 °C) or high (35, 37.5, and 40 °C) temperatures. Subsequently, the time-related effect of thermal stress on activity of antioxidant enzymes including catalase (CAT), glutathione-S-transferases (GSTs), peroxidase (POX), superoxide dismutase (SOD), and total antioxidant capacity (T-AOC) were systematically determined. The results showed that LPO levels increased significantly in a time-dependent manner under thermal stress. The activities of CAT, GSTs, and SOD were significantly enhanced and likely provided a defense mechanism against oxidative damage due to the accumulation of ROS. POX and T-AOC levels were not significantly modified. These results suggest that thermal stress induces oxidative stress, and antioxidant enzymes likely play an important role in reducing oxidative damage in B. dorsalis.