Tropical cyclones, with their nearshore high wind speeds and deep storm surges, frequently strike the United States Gulf of Mexico coastline influencing millions of people and disrupting offshore economic activities. The combined risk of occurrence of tropical cyclone nearshore wind speeds and storm surges is assessed at 22 coastal cities throughout the United States Gulf of Mexico. The models used are extreme value copulas fitted with margins defined by the generalized Pareto distribution or combinations of Weibull, gamma, lognormal, or normal distributions. The statistical relationships between the nearshore wind speed and storm surge are provided for each coastal city prior to the copula model runs using Spearman's rank correlations. The strongest significant relationship between the nearshore wind speed and storm surge exists at Shell Beach, LA (ρ = 0.67), followed by South Padre Island, TX (ρ = 0.64). The extreme value Archimedean copula models for each city then provide return periods for specific nearshore wind speed and storm surge pairs. Of the 22 cities considered, Bay St. Louis, MS, has the shortest return period for a tropical cyclone with at least a 50 ms−1 nearshore wind speed and a 3 m surge (19.5 years, 17.1‐23.5). The 90% confidence intervals are created by recalculating the return periods for a fixed set of wind speeds and surge levels using 100 samples of the model parameters. The results of this study can be utilized by policy managers and government officials concerned with coastal populations and economic activity in the Gulf of Mexico.