The gradual heterogeneity of climatic factors produces continuously varying selection pressures across geographic distances that leave signatures of clinal variation in the genome. Separating signatures of clinal adaptation from signatures of other evolutionary forces, such as neutral processes and adaptation to specific non-clinal conditions of the immediate local environment is a major challenge. Here, we examine climate adaptation in natural populations of the non-biting midge Chironomus riparius sampled along a climatic gradient across Europe. Our study integrates experimental data, individual genome resequencing, Pool-Seq data, and population genetic modelling. Common-garden experiments revealed a significant difference in population growth rates corresponding to the population origin along the climate gradient, suggesting thermal adaptation on the phenotypic level. In a population genomic analysis, we derived empirical estimates of demography and migration as parameters for species-specific models to simulate neutral divergence among populations. Despite the effort, the modelling approach consistently underestimated the empirical population differentiation. This highlights important challenges and pitfalls in population genetic modelling of the evolutionary dynamics in multivoltine ectotherms. We instead used a more conservative statistical FST outlier threshold based on empirical data to infer positive selection across the climate gradient, and combined the results with an environmental association analysis. Through this integration, it was possible to disentangle 999 candidate genes for local adaptation among populations from 162 candidate genes for clinal adaptation along the climate gradients. GO term enrichment analysis revealed that the functional basis of climate adaptation involves the apoptotic process and molecular response to heat.