Climate change has pervasive effects on marine ecosystems, altering biodiversity patterns, abundance and distribution of species, biological interactions, phenology, and organisms’ physiology, performance and fitness. Fish early life stages have narrow thermal windows and are thus more vulnerable to further changes in water temperature. The aim of this study was to address the sensitivity and underlying molecular changes of larvae of a key fisheries species, the sea bream Sparus aurata, towards ocean warming. Larvae were exposed to three temperatures: 18 °C (control), 24 °C (warm) and 30 °C (heat wave) for seven days. At the end of the assay, i) survival curves were plotted for each temperature treatment and ii) entire larvae were collected for proteomic analysis via 2D gel electrophoresis, image analysis and mass spectrometry. Survival decreased with increasing temperature, with no larvae surviving at 30 °C. Therefore, proteomic analysis was only carried out for 18 °C and 24 °C. Larvae up-regulated protein folding and degradation, cytoskeletal re-organization, transcriptional regulation and the growth hormone while mostly down-regulating cargo transporting and porphyrin metabolism upon exposure to heat stress. No changes were detected in proteins related to energetic metabolism suggesting that larval fish may not have the energetic plasticity needed to sustain cellular protection in the long-term. These results indicate that despite proteome modulation, S. aurata larvae do not seem able to fully acclimate to higher temperatures as shown by the low survival rates. Consequently, elevated temperatures seem to have bottleneck effects during fish early life stages, and future ocean warming can potentially compromise recruitment’s success of key fisheries species.