The more frequent and intense occurrence of heat waves is a challenge for arthropods because their unpredictable incidence requires fast adaptations by the exposed individuals. Phenotypic plasticity within and across generations might be a solution to cope with the detrimental effects of heat waves, especially for fast-developing, small arthropods with limited dispersal abilities. Therefore, we studied whether severe heat may affect the reproduction of a pest species, the spider mite Tetranychus urticae, and its counterpart, the predatory mite Phytoseiulus persimilis. Single offspring females with different parental thermal origins (reared under mild or extreme heat waves) of both species were exposed to mild or extreme heat waves on bean leaves over 10 days, and the oviposition, egg sizes, survival, and escape behavior of the females were evaluated daily. The total losses of predators mainly via escapers were very high compared to prey, which makes a separation between selective and plastic effects on shifted reproductive traits impossible. Predator females laid smaller eggs, while their consumption and oviposition rates were unaffected during extreme heat waves. In comparison, larger prey females fed more and produced more, but smaller, eggs due to within- and trans-generational effects. These advantages for the prey in comparison to its predator when exposed to extreme heat waves during the reproductive phase support the trophic sensitivity hypothesis: higher trophic levels (i.e., the predator) are more sensitive to thermal stress than lower trophic levels (i.e., the prey). Furthermore, the species-specific responses may reflect their lifestyles. The proactive and mobile predator should be selected for behavioral thermoregulation under heat waves via spatiotemporal avoidance of heat-exposed locations rather than relying on physiological adaptations in contrast to the more sessile prey. Whether these findings also influence predator–prey interactions and their population dynamics under heat waves remains an open question.