The ancient Lake Baikal is the largest source of liquid freshwater on Earth and home to a unique fauna. Several hundred mostly cold-adapted endemic amphipod species inhabit Baikal, an ecosystem that is already being influenced by global change. In this study, we characterized the core proteome and heat stress-induced changes in a temperature-tolerant endemic amphipod, Eulimnogammarus cyaneus, using a proteogenomic approach (PRIDE dataset PXD013237) to unravel the molecular mechanisms of the observed adverse effects. As males were previously found to be much more tolerant to thermal stress, we placed special emphasis on differences between the sexes. For both sexes, we observed adaption of energy metabolism, cytoskeleton, lipid, and carbohydrate metabolism upon heat stress. In contrast, significant differences were determined in the molecular chaperone response. Females from the control conditions possessed significantly higher levels of heat shock proteins (HSP70, HSPb1, Hsc70-3), which, in contrast to males, were not further increased in response to heat stress. The inability of females to further increase heat shock protein synthesis in response to temperature stress may be due to sex-specific processes, such as egg production, requiring a large proportion of the available energy. As ovigerous females synthesize generally higher amounts of protein, they also need higher levels of molecular chaperones for the folding of these new proteins. Thus, the higher sensitivity of females to heat shock may be due to the lack of molecular chaperone molecules to counteract the heat-induced protein denaturation.