Spodoptera frugiperda (J. E. Smith) is a highly adaptable polyphagous migratory pest in tropical and subtropical regions. Small heat shock proteins (sHsps) are molecular chaperones that play important roles in the adaptation to various environment stressors. The present study aimed to clarify the response mechanisms of S. frugiperda to various environmental stressors. We obtained five S. furcifera sHsp genes (SfsHsp21.3, SfsHsp20, SfsHsp20.1, SfsHsp19.3, and SfsHsp29) via cloning. The putative proteins encoded by these genes contained a typical α-crystallin domain. The expression patterns of these genes during different developmental stages, in various tissues of male and female adults, as well as in response to extreme temperatures and UV-A stress were studied via real-time quantitative polymerase chain reaction. The results showed that the expression levels of all five SfsHsp genes differed among the developmental stages as well as among the different tissues of male and female adults. The expression levels of most SfsHsp genes under extreme temperatures and UV-A-induced stress were significantly upregulated in both male and female adults. In contrast, those of SfsHsp20.1 and SfsHsp19.3 were significantly downregulated under cold stress in male adults. Therefore, the different SfsHsp genes of S. frugiperda play unique regulatory roles during development as well as in response to various environmental stressors.