Assessing extinction risk from climate drivers is a major goal of conservation science. Few studies, however, include a long-term perspective of climate change. Without explicit integration, such long-term temperature trends and their interactions with short-term climate change may be so dominant that they blur or even reverse the apparent direct relationship between climate change and extinction. Here we evaluate how observed genus-level extinctions of arthropods, bivalves, cnidarians, echinoderms, foraminifera, gastropods, mammals and reptiles in the geological past can be predicted from the interaction of long-term temperature trends with short-term climate change. We compare synergistic palaeoclimate interaction (a short-term change on top of a long-term trend in the same direction) to antagonistic palaeoclimate interaction such as long-term cooling followed by short-term warming. Synergistic palaeoclimate interaction increases extinction risk by up to 40%. The memory of palaeoclimate interaction including the climate history experienced by ancestral lineages can be up to 60 Myr long. The effect size of 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.