Macroclimatic data are widely used to estimate the realized environmental niche of species and predict the current or the future spatial distribution of species. Because the realized niche is a subset of the fundamental niche—constrained by biotic interactions and dispersal limitations—proxies of the fundamental niche (e.g., thermal limits obtained from physiological experiments) are sometimes combined with macroclimatic data under the assumption that areas predicted as unsuitable from a realized niche perspective may belong to the species' fundamental niche. However, it is unclear whether this assumption is valid and whether thermal limits can be combined with macroclimatic data. Here, we explored these questions using available physiological thermal limits measured for 151 ectotherms. Specifically, we explored whether physiological thermal limits are larger than observed (realized) thermal limits measured using macroclimatic data, and what would be the effect of considering the physiological niche in addition to the realized niche for current and future predictions. Our results confirm previously raised concerns, as physiological limits can delimit a narrower range of thermal tolerance than the realized niche, particularly at the cold end of the thermal gradient where adaptive and/or facilitative mechanisms could allow species to survive in temperatures below physiological limits. These findings show that combining data on physiological thermal limits with macroclimatic data is dubious and that spatial predictions should be interpreted with caution because data on physiological thermal limits do not fit well with macroclimatic data that do not capture the conditions that organisms experience in the wild. While estimated physiological thermal limits are likely of value to complement species distribution studies, they are likely more useful in biophysical models that account for additional processes including the animal's behavior.