Theoretical models predict that selection on reaction norms should depend on the relative frequency of environmental states experienced by a population. We report a laboratory experimental test of this prediction for thermal performance curves of larval growth rate in Pieris rapae in relation to their thermal environment. We measured short-term relative growth rate (RGR) for each individual at a series of five temperatures, and then we assigned individuals randomly to warm or cool selection treatments, which differ in the frequency distributions of environmental temperatures. Selection gradient analyses of two independent experiments demonstrated significant positive selection for increasing RGR, primarily through its effects on survival to adulthood and on development rate. In both the warm and cool selection treatments, the magnitude of directional selection on RGR was consistently greater at lower (suboptimal) temperatures than at higher temperatures; differences in selection between the treatments did not match model predictions. The temporal order and duration of environmental conditions may affect patterns of selection on thermal performance curves and other continuous reaction norms, complicating the connections between variation in environment, phenotype, and fitness.