Many aspects of physiological and organismal performance vary with some continuous environmental variable: e.g., photosynthetic rate as a function of light intensity; growth rate or sprint speed as a function of temperature. For such ‘performance curves’, the environment plays two roles: it affects both the levels of performance expressed, and the relationship between performance and fitness. How does environmental variation within a generation determine natural selection on performance curves? We describe an approach to this question that has three components. First, we quantify natural environmental variation and assess its impact on performance in the field. Second, we develop a simple theoretical model that predicts how fine-grained environmental variation determines selection on performance curves. Third, we describe how directional selection on performance curves may be estimated and compared to theoretical predictions. We illustrate these steps using data on performance curves of short-term growth rate as a function of temperature (thermal performance curves) in Pieris caterpillars. We use this approach to explore whether selection acts primarily on growth rate at specific temperatures, or on more integrated aspects of growth.