As coral reefs struggle to survive under climate change, it is crucial to know whether they have the capacity to withstand changing conditions, particularly increasing seawater temperatures. Thermal tolerance requires the integrative response of the different components of the coral holobiont (coral host, algal photosymbiont, and associated microbiome). Here, using a controlled thermal stress experiment across three divergent Caribbean coral species, we attempt to dissect holobiont member metatranscriptome responses from coral taxa with different sensitivities to heat stress and use phylogenetic ANOVA to study the evolution of gene expression adaptation. We show that coral response to heat stress is a complex trait derived from multiple interactions among holobiont members. We identify host and photosymbiont genes that exhibit lineage-specific expression level adaptation and uncover potential roles for bacterial associates in supplementing the metabolic needs of the coral-photosymbiont duo during heat stress. Our results stress the importance of integrative and comparative approaches across a wide range of species to better understand coral survival under the predicted rise in sea surface temperatures.