In order to mitigate the widely recognized and harmful impacts of climate change on wildlife, it is imperative to assess the vulnerability of species to future climate change and to adopt adaptive conservation strategies. Assessments of climate change vulnerability make two essential contributions to adaptation planning, including the identification of species that are likely to be most strongly affected by climate change and the identification of underlying mechanisms that make these species vulnerable. Here, we define climate change vulnerability as the extent to which wildlife species will be affected by climate change, considering exposure, sensitivity, and adaptive capacity, which we respectively define as extrinsic factors that will result from climate change (e.g., increasing temperature and precipitation and extreme weather), intrinsic species traits (e.g., biotic interactions and physiological tolerances), and the degree to which species are able to reduce or avoid the adverse effects of climate change through dispersal and plastic ecological or evolutionary responses. In this review, we describe the different methods used for assessing the vulnerability of wildlife to climate change, as well as the corresponding data requirements, and then address the uncertainty factors in each method and describe the importance of vulnerability assessments in designing adaptive climate change-related conservation strategies. The purpose of this review is to provide a reference for assessing the vulnerability of wildlife to climate change in China.