One of the main objectives of ecological research and conservation science is to enhance our understanding of the processes that lead to species extinction. A potentially crucial mechanism of extinction is the dependence of contemporary biodiversity dynamics on past climate also known as “climate legacy”. Climate legacies can arise from a multitude of ecological processes, such as time lags, niche conservatism, physiological thresholds, or cascading effects. Further, climate legacies can be assumed to be present in all ecological systems as a consequence of the dynamic nature of ecological patterns and processes. If not accounted for, climate legacies can hinder or even prevent the detection of true ecological responses to climate change. However, the general impact of climate legacy on extinction dynamics is unknown. Here I evaluate how observed extinctions in the geological past can be predicted from climate legacies. I show that positive palaeoclimate interactions, a particular form of climate legacies, can substantially increase the extinction risk of terrestrial and marine genera for most fossil clades. Warming on top of long-term warming trends increases extinction risk, whereas a warming pulse has less severe effects when following long-term cooling. The effect size of this palaeoclimate interaction is similar to other key factors such as geographic range, abundance, or clade membership. Insights arising from this previously unknown driver of extinction risk might attenuate recent predictions of climate change induced biodiversity loss.