Many studies have implied significant effects of global climate change on marine life. Setting these alterations into the context of historical natural change has not been attempted so far, however. Here, using a theoretical framework, we estimate the sensitivity of marine pelagic biodiversity to temperature change and evaluate its past (mid-Pliocene and Last Glacial Maximum (LGM)), contemporaneous (1960–2013) and future (2081–2100; 4 scenarios of warming) vulnerability. Our biodiversity reconstructions were highly correlated to real data for several pelagic taxa for the contemporary and the past (LGM and mid-Pliocene) periods. Our results indicate that local species loss will be a prominent phenomenon of climate warming in permanently stratified regions, and that local species invasion will prevail in temperate and polar biomes under all climate change scenarios. Although a small amount of warming under the RCP2.6 scenario is expected to have a minor influence on marine pelagic biodiversity, moderate warming (RCP4.5) will increase by threefold the changes already observed over the past 50 years. Of most concern is that severe warming (RCP6.0 and 8.5) will affect marine pelagic biodiversity to a greater extent than temperature changes that took place between either the LGM or the mid-Pliocene and today, over an area of between 50 (RCP6.0: 46.9–52.4%) and 70% (RCP8.5: 69.4–73.4%) of the global ocean.