Marine protected areas (MPAs) are among the most effective management responses to human environmental impacts. However, their capacity to sustain biodiversity and associated ecosystem services under climate change is uncertain. Understanding how climate shifts impact ecosystem functioning and socioeconomic well-being is vital for biodiversity conservation and adaptation planning. Here, we show that climate change could render the current MPAs network in 12 nations in the Western Indian Ocean ineffective in supporting conservation and socioeconomic outcomes. Approximately half of the coral reefs and MPAs in countries most at risk of food insecurity will likely experience significant biodiversity losses. Only 4% of reefs and 6% of MPAs were located within areas less likely to experience climate shifts. Biodiversity hotspots for coral and reef fish were generally over-represented in the most at-risk areas. Conservation actions planned to anticipate climate risks can help to maintain biodiversity and socioeconomic benefits.