Regional long‐term monitoring can enhance the detection of biodiversity declines associated with climate change, improving future projections by reducing reliance on space‐for‐time substitution and increasing scalability. Rodents are diverse and important consumers in drylands, regions defined by the scarcity of water that cover 45% of Earth's land surface and face increasingly drier and more variable climates. We analyzed abundance data for 22 rodent species across grassland, shrubland, ecotone, and woodland ecosystems in the southwestern USA. Two time series (1995–2006 and 2004–2013) coincided with phases of the Pacific Decadal Oscillation (PDO), which influences drought in southwestern North America. Regionally, rodent species diversity declined 20%–35%, with greater losses during the later time period. Abundance also declined regionally, but only during 2004–2013, with losses of 5% of animals captured. During the first time series (wetter climate), plant productivity outranked climate variables as the best regional predictor of rodent abundance for 70% of taxa, whereas during the second period (drier climate), climate best explained variation in abundance for 60% of taxa. Temporal dynamics in diversity and abundance differed spatially among ecosystems, with the largest declines in woodlands and shrublands of central New Mexico and Colorado. Which species were winners or losers under increasing drought and amplified interannual variability in drought depended on ecosystem type and the phase of the PDO. Fewer taxa were significant winners (18%) than losers (30%) under drought, but the identities of winners and losers differed among ecosystems for 70% of taxa. Our results suggest that the sensitivities of rodent species to climate contributed to regional declines in diversity and abundance during 1995–2013. Whether these changes portend future declines in drought‐sensitive consumers in the southwestern USA will depend on the climate during the next major PDO cycle.