Current large-scale, anaerobic industrial processes for ethanol production from renewable carbohydrates predominantly rely on the mesophilic yeast Saccharomyces cerevisiae. Use of thermotolerant, facultatively fermentative yeasts such as Kluyveromyces marxianus could confer significant economic benefits. However, in contrast to S. cerevisiae, these yeasts cannot grow in the absence of oxygen. Responses of K. marxianus and S. cerevisiae to different oxygen-limitation regimes were analyzed in chemostats. Genome and transcriptome analysis, physiological responses to sterol supplementation and sterol-uptake measurements identified absence of a functional sterol-uptake mechanism as a key factor underlying the oxygen requirement of K. marxianus. Heterologous expression of a squalene-tetrahymanol cyclase enabled oxygen-independent synthesis of the sterol surrogate tetrahymanol in K. marxianus. After a brief adaptation under oxygen-limited conditions, tetrahymanol-expressing K. marxianus strains grew anaerobically on glucose at temperatures of up to 45 °C. These results open up new directions in the development of thermotolerant yeast strains for anaerobic industrial applications.