Blood-sucking insects experience thermal stress at each feeding event on endothermic vertebrates. We used thermography to examine how kissing-bugs Rhodnius prolixus actively protect themselves from overheating. During feeding, these bugs sequester and dissipate the excess heat in their heads while maintaining an abdominal temperature close to ambient. We employed a functional-morphological approach, combining histology, µCT and X-ray-synchrotron imaging to shed light on the way these insects manage the flow of heat across their bodies. The close alignment of the circulatory and ingestion systems, as well as other morphological characteristics, support the existence of a countercurrent heat exchanger in the head of R. prolixus, which decreases the temperature of the ingested blood before it reaches the abdomen. This kind of system has never been described before in the head of an insect. For the first time, we show that countercurrent heat exchange is associated to thermoregulation during blood-feeding.