Species' distributions are moving polewards in response to climate change, and although range expansions of relatively warm‐adapted species are widely reported, reports of range retractions in cool‐adapted species are less common. Here, we analysed species' distribution shifts for 76 cool‐adapted moths in Great Britain using citizen science occurrence records from the National Moth Recording Scheme over a 40‐year period. Although we find evidence for trailing edge shifts to higher latitudes, shifts in species' range centroids are oriented towards the north‐west, and are more closely correlated with directional changes in total precipitation than average temperature. We also found that species' local extinction risk is higher in areas where temperature is high and precipitation is low, but this risk diminishes as precipitation increases. Adaptation efforts should therefore focus on maintaining or increasing water availability as the climate continues to change.