The spectre of increasing impacts on exploited fish stocks in consequence of warmer climate conditions has become a major concern over the last decades. It is now imperative to improve the way we project the effects of future climate warming on fisheries. While estimating future climate‐induced changes in fish distribution is an important contribution to sustainable resource management, the impacts on European small pelagic fish—representing over 50% of the landings in the Mediterranean and Black Sea between 2000 and 2013—are yet largely understudied. Here, we investigated potential changes in the spatial distribution of seven of the most harvested small pelagic fish species in Europe under several climate change scenarios over the 21st century. For each species, we considered eight Species Distribution Models (SDMs), five General Circulation Models (GCMs) and three emission scenarios (the IPCC Representative Concentration Pathways; RCPs). Under all scenarios, our results revealed that the environmental suitability for most of the seven species may strongly decrease in the Mediterranean and western North Sea while increasing in the Black and Baltic Seas. This potential northward range expansion of species is supported by a strong convergence among projections and a low variability between RCPs. Under the most pessimistic scenario (RCP8.5), climate‐related local extinctions were expected in the south‐eastern Mediterranean basin. Our results highlight that a multi‐SDM, multi‐GCM, multi‐RCP approach is needed to produce more robust ecological scenarios of changes in exploited fish stocks in order to better anticipate the economic and social consequences of global climate change.