How aquatic insects cope with cold temperatures is poorly understood. This is particularly true for high-elevation species, which often experience a seasonal risk of freezing. In the Rocky Mountains, nemourid stoneflies (Plecoptera: Nemouridae) are a major component of mountain stream biodiversity and are typically found in streams fed by glaciers and snowfields, which are rapidly receding due to climate change. Predicting the effects of climate change on mountain stoneflies is difficult because their thermal physiology is largely unknown. We investigated cold tolerance of several alpine stoneflies (Lednia tumana, Lednia tetonica, and Zapada spp.) from the Rocky Mountains, USA. We measured the supercooling point (SCP) and tolerance to ice enclosure of late-instar nymphs collected from a range of thermal regimes. SCPs varied among species and populations, with the lowest SCP measured for nymphs from an alpine pond, which was much more likely to freeze solid in winter than flowing streams. We also show that L. tumana cannot survive being enclosed in ice, even for short periods of time (<3 h) at relatively mild temperatures (–0.5 °C). Our results indicate that high-elevation stoneflies at greater risk of freezing may have correspondingly lower SCPs, and despite their common association with glacial meltwater, these stoneflies appear to be living near their lower thermal limits.