Warm dense matter (WDM) has emerged as one of the frontiers of both experimental physics and theoretical physics and is a challenging traditional concept of plasma, atomic, and condensed-matter physics. While it has become common practice to model correlated electrons in WDM within the framework of Kohn–Sham density functional theory, quantitative benchmarks of exchange–correlation (XC) functionals under WDM conditions are yet incomplete. Here, we present the first assessment of common XC functionals against exact path-integral Monte Carlo calculations of the harmonically perturbed thermal electron gas. This system is directly related to the numerical modeling of x-ray scattering experiments on warm dense samples. Our assessment yields the parameter space where common XC functionals are applicable. More importantly, we pinpoint where the tested XC functionals fail when perturbations on the electronic structure are imposed. We indicate the lack of XC functionals that take into account the needs of WDM physics in terms of perturbed electronic structures.