The hologenome theory proposes tight associations to exist between the microbes and their hosts, suggesting that together they consist the unit of natural selection. Here we pursued this concept by hypothesizing that adaptive capacity in fish is connected to their microbiome composition. We used a unique experimental setup to test this hypothesis, with a selective breeding scheme for cold tolerance in the tropical blue tilapia. We tested the effects of cold exposure on the gut microbiome of sensitive and resistant hosts. We found that host thermal tolerance shapes gut microbiome composition and response to cold exposure. Interestingly, the microbiomes of resistant fish showed higher resilience to temperature changes, in agreement with their host`s response, indicating that the microbiome is shaped by its host`s adaptive capacity. Such findings highlight the tight connections between the host and its microbiome adaptation to the environmental and thus being consistent with the holobiome theory of evolution.