We perform the modulation instability analysis of the 2D and 3D nonlinear Klein–Gordon equation. The instability region depends on dispersion and wavenumbers of the plane wave. The N-breathers of the nonlinear Klein–Gordon equation are constructed directly from its 2N-solitons obtained in history. The regularity conditions of breathers are established. The dynamic behaviors of breathers of the 2D nonlinear Klein–Gordon equation are consistent with modulation instability analysis. Furthermore, by means of the bilinear method together with improved long-wave limit technique, we obtain general high order rogue waves of the 2D and 3D nonlinear Klein–Gordon equation. In particular, the first- and second-order rogue waves and lumps of the 2D nonlinear Klein–Gordon equation are investigated by using their explicit expressions. We find that their dynamic behaviors are similar to the nonlinear Schrödinger equation. Finally, the first-order rational solutions are illustrated for the 3D nonlinear Klein–Gordon equation. It is demonstrated that the rogue waves of the 2D and 3D nonlinear Klein–Gordon equation always exist by choosing dispersion and wavenumber of plane waves.