Anthropogenic climate change is predicted to be a major cause of species extinctions in the next 100 years. But what will actually cause these extinctions? For example, will it be limited physiological tolerance to high temperatures, changing biotic interactions or other factors? Here, we systematically review the proximate causes of climate-change related extinctions and their empirical support. We find 136 case studies of climatic impacts that are potentially relevant to this topic. However, only seven identified proximate causes of demonstrated local extinctions due to anthropogenic climate change. Among these seven studies, the proximate causes vary widely. Surprisingly, none show a straightforward relationship between local extinction and limited tolerances to high temperature. Instead, many studies implicate species interactions as an important proximate cause, especially decreases in food availability. We find very similar patterns in studies showing decreases in abundance associated with climate change, and in those studies showing impacts of climatic oscillations. Collectively, these results highlight our disturbingly limited knowledge of this crucial issue but also support the idea that changing species interactions are an important cause of documented population declines and extinctions related to climate change. Finally, we briefly outline general research strategies for identifying these proximate causes in future studies.