Plants are routinely subjected simultaneously to different abiotic and biotic stresses, such as heat, drought, and insect infestation. Plant–insect interactions in such complex stress situations are poorly understood. We evaluated the performance of the grain aphid (Sitobion avenae) in wheat (Triticum aestivum L.) exposed to a combination of heat and drought stresses. We also performed assays of the relative water content, nutritional quality, and responses of phytohormone signaling pathways. Lower relative water content and accumulation of soluble sugars and amino acids were observed in plants exposed to combined heat and drought stress. These conditions increased abscisic acid levels in the absence of aphids, as well as leading to higher levels of jasmonate-dependent transcripts. The grain aphid infestation further increased abscisic acid levels and the abundance of jasmonic acid- and salicylic acid-dependent defenses under the combined stress conditions. Aphids reared on plants grown under drought stress alone showed lower net reproductive rates, intrinsic rates of increase, and finite rates of increase compared with aphids reared on plants in the absence of stress. The heat-treated plants also showed a decreased aphid net reproductive rate. These findings demonstrate that exposure to a combination of stresses enhances plant defense responses against aphids as well as altering nutritional quality.