The melon/cotton aphid, Aphis gossypii Glover, is a notorious pest in many crops. The neonicotinoid insecticide thiamethoxam is widely used for A. gossypii control. To evaluate thiamethoxam resistance risk, a melon/cotton aphid strain with an extremely high level of resistance to thiamethoxam (>2,325.6-fold) was established after selection with thiamethoxam for 24 generations. Additionally, the cross-resistance pattern to other neonicotinoids and fitness were analyzed. The cross-resistance results showed the thiamethoxam-resistant strain had extremely high levels of cross-resistance against clothianidin (>311.7-fold) and nitenpyram (299.9-fold), high levels of cross-resistance against dinotefuran (142.3-fold) and acetamiprid (76.6-fold), and low cross-resistance against imidacloprid (9.3-fold). Compared with the life table of susceptible strain, the thiamethoxam-resistant strain had a relative fitness of 0.950, with significant decreases in oviposition days and fecundity and prolonged developmental duration. The molecular mechanism for fitness costs was studied by comparing the mRNA expression levels of juvenile hormone acid O-methyltransferase (JHAMT), juvenile hormone-binding protein (JHBP), juvenile hormone epoxide hydrolase (JHEH), ecdysone receptor (EcR), ultraspiracle protein (USP), and Vitellogenin (Vg) in the susceptible and thiamethoxam-resistant strains. Significant overexpression of JHEH and JHBP and downregulation of EcR and Vg expression were found in the thiamethoxam-resistant strain. These results indicate that A. gossypii has the potential to develop extremely high resistance to thiamethoxam after continuous exposure, with a considerable fitness cost and cross-resistance to other neonicotinoids.