AbstractClimate change can induce shifts in species ranges. Of special interest are range shifts in regions with a conflict of interest between land use and the conservation of threatened species. Here we focus on the 94 threatened terrestrial vertebrates occurring in the Madrid region (Central Spain) and model their distributions using data for the whole peninsular Spain to evaluate which vertebrate groups are likely to be more sensitive to climatic change. First, we generated predictive models to quantify the extent to which species distributions are explained by current climate. We then extrapolated the models temporally to predict the effects of two climate‐change scenarios on species distributions. We also examined the impact on a recently proposed reserve relative to other interconnected zones with lower protection status but categorized as Areas of Community Importance by the European Union. The variation explained by climatic predictors was greater in ectotherms. The change in species composition differed between the proposed reserve and the other protected areas. Endothermic and ectothermic vertebrates had different patterns of changes in species composition but those of ectotherms matched with temperature departures predicted by climate change. Our results, together with the limited dispersal capacity of herptiles, suggest that trade‐offs between different design criteria accounting for animal group differences are necessary for reserve selection.