The hologenome concept proposes that microbes together with their hosting organism are an independent unit of selection. Motivated by this concept, we hypothesized that thermal acclimation in poikilothermic organisms is connected to their microbiome composition due to their inability to maintain their body temperature. To test this hypothesis, we used a unique experimental setup with a transgenerational selective breeding scheme for cold tolerance in tropical tilapias. We tested the effects of the selection on the gut microbiome and host transcriptomic response. Interestingly, we found that host genetic selection for thermal tolerance shapes microbiome composition and its response to cold. The microbiomes of cold-resistant fish showed higher resilience to temperature changes, indicating that the microbiome is shaped by its host's selection. These findings are consistent with the hologenome concept and highlight the connection between the host and its microbiome's response to the environment.