Migratory birds occupy different geographical areas during breeding and non‐breeding periods, and thus different factors may determine their range limits depending on each season. One such factor is the spatial climatic component of the niche, which is widely used to model species distributions, yet the temporal component is often neglected and is generally assumed to be constant. We tested the hypothesis that the climatic niche is conserved between breeding and non‐breeding areas in 355 bird species migrating through Eurasian–African flyways. For this, we performed niche overlap analyses and compared niche differences between sister or phylogenetically closely related species, as well as linking the differences to migratory distances. For more than 80% of the species, there was no or very little overlap between their breeding and non‐breeding climatic niches. For most closely related species, the degree of overlap of their breeding climatic niches was larger than the overlap observed within each species, but not for their wintering climatic niches, suggesting a phylogenetic conservation of breeding climatic niches. Finally, there was a clear negative relationship between migratory distances and climatic niche overlap within each species. Our results confirmed that the climatic niche of most Eurasian–African migratory species differs between both breeding and non‐breeding ranges, suggesting distinctive seasonal climatic requirements. Given these results and the geographically uneven effects of climate change, the impact of global change is likely to have different effects in each seasonal range. Hence, both breeding and non‐breeding climatic data need to be considered when using species distribution models.