The risk of socio-economic vulnerability depends not only on the risk of climate hazards occurring but also on society’s vulnerability to such hazards, coping capacity, and adaptive capacity. The World Risk Index methodology was used to assess the risk of socio-economic vulnerability of municipalities in the Tyumen region to climate-related hazards. Three groups of indicators were identified for calculating the socio-economic vulnerability risk: susceptibility, coping capacity, and adaptive capacity. Indicators in each group were selected based on official statistics. As a result, the risk of the realization of climate hazards and the risk of socio-economic vulnerability for the municipalities of the Tyumen region were ranked. Based on the results of ranking, the municipalities were divided into five groups. These groups had similar characteristics regarding socio-economic vulnerability indicators. The spatial analysis allowed for the identification of two clusters of municipalities with the highest level of socio-economic vulnerability due to a high risk of realization of climate-related hazards. Policy recommendations were proposed based on a spatial analysis of the risk of socio-economic vulnerability across municipalities and the analysis of socio-economic vulnerability indicators.