In nature, objects which are in thermal contact with each other, usually approach the same temperature, unless a heat source (or sink) cherishes a persistent flow of heat. Accordingly, in a well-isolated apartment flat, most items are at a similar temperature. This is a general consequence of equilibrium thermodynamics, requiring coexisting phases to have identical temperatures. Opposing this generic situation, here we identify a system showing different temperatures in coexisting phases, which are separated from each other by a sharp and persistent temperature gradient. Thermodynamically, such a hot and a cold phase are allowed to coexist, as the system we consider comprises active particles which self-propel relative to their environment and are thus intrinsically out-of-equilibrium. Although these microparticles are well known to spontaneously phase-separate into a liquid- and a gas-like state, different kinetic temperatures in coexisting phases occur if and only if inertia is introduced, which is neglected in standard models describing active particles. Our results, therefore, exemplify a novel route to use active particles to create a self-sustained temperature gradient across coexisting phases, a phenomenon, which is fundamentally beyond equilibrium physics.