We exploit gauge theory/string theory correspondence to study quantum quenches in strongly coupled gauge theory plasma. Specifically, we consider the response of a thermal equilibrium state of the theory under variations of the coupling of a relevant operator. We discuss the transition from the 'adiabatic' regime (quenches slow on a thermal time-scale) to 'abrupt' changes (quenches fast on a thermal time-scale), and comment on the universal behaviour in latter case. We discuss evolution of the apparent and the event horizons in the dual geometry; the two-point correlation functions of operators of large conformal dimensions; and the evolution of the entanglement entropy of the system. We compare the thermalization process from the viewpoint of local (the one-point correlation functions) and these nonlocal probes.