Understanding the mechanisms by which the abiotic and biotic requirements of species, or ecological niches, change over time is a central issue in evolutionary biology. Niche evolution is poorly understood at both the macroecological and macroevolutionary scales, as niches can shift over short periods of time but appear to change more slowly over longer timescales. Although reconstructing past niches has always been a major concern for palaeontologists and evolutionary biologists, only a few recent studies have successfully determined the factors that affect niche evolution. Here, we compare the evolution of climatic niches in four main groups of terrestrial vertebrates using a modelling approach integrating both palaeontological and neontological data, and large-scale datasets that contain information on the current distributions, phylogenetic relationships and fossil records for a total of 11,465 species. By reconstructing historical shifts in geographical ranges and climatic niches, we show that niche shifts are significantly faster in endotherms (birds and mammals) than in ectotherms (squamates and amphibians). We further demonstrate that the diversity patterns of the four clades are directly affected by the rate of niche evolution, with fewer latitudinal shifts in ectotherms.