Temperature directly shapes insect physiology and has a preponderant effect on life history traits. Winter conditions in temperate and polar regions are especially challenging for insects. Extremely low temperatures can indeed compromise insect survival by promoting freezing of body fluids, but mild cold temperatures above 0 °C (i.e., chilling) can also lead to complex and severe physiological dysregulations. Among physiological damages due to freezing and chilling, insect lipids are one of the primary targets. As low temperatures tend to rigidify phospholipid bilayers, membrane functions are compromised in the cold. Lipid rigidification due to cold also decreases the accessibility of fat stores for metabolic enzymes, and therefore their availability for basal metabolism. These deleterious effects, combined with low food availability in winter, result in substantial nutritional challenges for overwintering insects. Consequently, lipid modifications such as homeoviscous adaptation of cell membranes, fluidity maintenance of fat reserves, cuticular lipid accumulation, and production of antifreeze glycolipids are essential components of the physiological response to cold stress. The aim of the present chapter is to present the physiological challenges caused by low temperatures, the lipid modifications linked with cold tolerance in insects, and the molecular regulation of lipid metabolism during cold exposure.