The oriental army worm Mythimna separata (Lepidoptera: Noctuidae) is a migratory pest in Eastern Asia and China. Seasonal high temperatures in Southern China and low temperatures in Northern China are pressures favouring the annual migration of this species, while cold tolerance determines the northern limit of its overwintering range. A number of physiological stress responses occur in insects as a result of variations in temperature. One reaction to thermal stress is the generation of reactive oxygen species (ROS), which can be harmful by causing oxidative damage. The time-related effects (durations of 1, 4 and 7 h) of thermal stress treatments of M. separata at comparatively low (5, 10, 15 and 20°C) and high (30, 35, 40 and 45°C) temperatures on the activities of antioxidant enzymes, including superoxide dismutase (SOD), catalase (CAT), peroxidase (POX) and glutathione S-transferases (GSTs), and total antioxidant capacity (T-AOC) were determined. Thermal stress resulted in significant elevation of the activities of SOD, CAT and GSTs, indicating that these enzymes contribute to defence mechanisms counteracting oxidative damage caused by an increase in ROS. However, at high-temperatures, POX and T-AOC were also found to contribute to scavenging ROS. Our results also indicate that extreme temperatures lead to elevated ROS production in M. separata. The present study confirms that thermal stress can be responsible for oxidative damage. To overcome such stress, antioxidant enzymes play key roles in diminishing oxidative damage in M. separata.