Changes in rocky shore community composition as responses to climatic fluctuations and anthropogenic warming can be shown by changes in average species thermal affinities. In this study we derived thermal affinities for European Atlantic rocky intertidal species by matching their known distributions to patterns in average annual sea surface temperature. Average thermal affinities (the Community Temperature Index, CTI) tracked patterns in sea surface temperature from Portugal to Norway, but CTI for communities of macroalgae and plant species changed less than those composed of animal species. This reduced response was in line with the expectation that communities with a smaller range of thermal affinities among species would change less in composition along thermal gradients and over time. Local‐scale patterns in CTI over wave exposure gradients suggested that canopy macroalgae allow species with ranges centred in cooler than local temperatures (“cold‐affinity”) to persist in otherwise too‐warm conditions. In annual surveys of rocky shores, communities of animal species in Shetland showed a shift in dominance towards warm‐affinity species (“thermophilization”) with local warming from 1980 to 2018 but the community of plant and macroalgal species did not.