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Cold tolerance plays a critical role in determining the geographical range limits of species. Previous studies have found that range shifts in response to climate warming are facilitated, paradoxically, by cold acclimation capacities, due to increasingly colder and variable weather at high latitudes. However, the evolutionary dynamics of this process are poorly understood. In this study we combined experiments and field studies to investigate the social and ecological factors affecting cold tolerances in range-shifting populations of the female-polymorphic damselfly Ischnura elegans in north-east Scotland, and their consequences for evolutionary change. In the field, we observed both environmental and social effects on cold tolerance and female colour morph frequencies. This process results in a latitudinal cline in female morph frequencies, due to positive feedback between social stress and thermal tolerances. Density manipulations in the laboratory provide experimental evidence that social interactions directly impact cold tolerance. Reciprocal effects of social environments on thermal acclimation may be important but commonly overlooked aspects of allee effects that contribute to the formation of range margins. Moreover, there is a wider need to consider the role of evolving social dynamics to reciprocally shape both the thermal physiology of individuals and the thermal niches of species.