Gene expression is known to be highly responsive to the environment and important for adjustment of metabolism but there is also growing evidence that differences in gene regulation contribute to species divergence and differences among locally adapted populations. However, most studies so far investigated populations when divergence had already occurred. Selection acting on expression levels at the onset of adaptation to an environmental change has not been characterized. Understanding the mechanisms is further complicated by the fact that environmental change is often multivariate, meaning that organisms are exposed to multiple stressors simultaneously with potentially interactive effects. Here we use a novel approach by combining fitness and whole-transcriptome data in a large-scale experiment to investigate responses to drought, heat and their combination in Tribolium castaneum. We found that fitness was reduced by both stressors and their combined effect was almost additive. Expression data showed that stressor responses were acting independently and did not interfere physiologically. Since we measured expression and fitness within the same individuals, we were able to estimate selection on gene expression levels. We found that variation in fitness can be attributed to gene expression variation and that selection pressures were environment dependent and opposite between control and stress conditions. We could further show that plastic responses of expression were largely adaptive, i.e. in the direction that should increase fitness.