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Understanding which species and ecosystems will be most severely affected by warming as climate change advances is important for guiding conservation and management. Both marine and terrestrial fauna have been affected by warming(1,2) but an explicit comparison of physiological sensitivity between the marine and terrestrial realms has been lacking. Assessing how close populations live to their upper thermal limits has been challenging, in part because extreme temperatures frequently drive demographic responses(3,4) and yet fauna can use local thermal refugia to avoid extremes(5-7). Here we show that marine ectotherms experience hourly body temperatures that are closer to their upper thermal limits than do terrestrial ectotherms across all latitudes-but that this is the case only if terrestrial species can access thermal refugia. Although not a direct prediction of population decline, this thermal safety margin provides an index of the physiological stress caused by warming. On land, the smallest thermal safety margins were found for species at mid-latitudes where the hottest hourly body temperatures occurred; by contrast, the marine species with the smallest thermal safety margins were found near the equator. We also found that local extirpations related to warming have been twice as common in the ocean as on land, which is consistent with the smaller thermal safety margins at sea. Our results suggest that different processes will exacerbate thermal vulnerability across these two realms. Higher sensitivities to warming and faster rates of colonization in the marine realm suggest that extirpations will be more frequent and species turnover faster in the ocean. By contrast, terrestrial species appear to be more vulnerable to loss of access to thermal refugia, which would make habitat fragmentation and changes in land use critical drivers of species loss on land.