Insects have been influential models in research on color variation, its evolutionary drivers and the mechanistic basis of such variation. More recently, several studies have indicated that insect color is responding to rapid climate change. However, it remains challenging to ascertain drivers of color variation among populations and species, and across space and time, as multiple biotic and abiotic factors can interact and mediate color change. Here, we describe some of the challenges and recent advances made in this field. First, we outline the main alternative hypotheses that exist for insect color variation in relation to climatic factors. Second, we review the existing evidence for contemporary adaptive evolution of insect color in response to climate change and then discuss factors that can promote or hinder the evolution of color in response to climate change. Finally, we propose future directions and highlight gaps in this research field. Pigments and structures producing insect color can vary concurrently or independently, and may evolve at different rates, with poorly understood effects on gene frequencies and fitness. Disentangling multiple competing hypotheses explaining insect coloration should be key to assign color variation as an evolutionary response to climate change.