Antipredator defense of herbivorous insects often relies on the potential toxicity of defensive chemicals sequestered from their host plants. The colorful Lygaeinae (Heteroptera: Lygaeidae) store a concentrated mixture of toxic cardenolides (cardiac glycosides) in specialized storage compartments of the bugs' integument, from which they are released upon attack. Larvae and adults of the large milkweed bug Oncopeltus fasciatus (Heteroptera: Lygaeinae) are specialized to feed on cardenolide‐containing milkweeds in the plant genus Asclepias and display a conspicuous red and black colorations. To investigate whether O. fasciatus gained improved protection by feeding on a toxic host plant (Asclepias syriaca), compared to a nontoxic alternative (sunflower seeds), we fed nymphs and adults of O. fasciatus to the golden orb‐weaver Nephila senegalensis. While visually oriented vertebrates, such as avian predators, have been intensively investigated for their reaction to defensive compounds and aposematic coloration, less attention has been paid to invertebrate predators. Their different perceptual abilities can provide important opportunities for testing hypotheses on warning coloration and chemical defenses. The predation trials showed that the bugs fed on Asclepias were significantly less likely to be killed than the bugs reared on a cardenolide‐free diet. This suggests that sequestered cardenolides in O. fasciatus nymphs and adults represent a significant fitness advantage on an individual level against this invertebrate predator. Yet, when testing for avoidance learning in the spiders, negative experience did not change the way how similar prey was attacked at the next encounter. In this case, visual or chemical aposematism thus does not seem to matter for predator learning.