Healthy marine ecosystems provide critical benefits to people worldwide, but increasing threats from climate change and human activities disrupt ecosystem functionality and put these benefits at risk. Local and regional assessments have shown these impacts can be substantial, but we lack a global assessment of risk to marine biodiversity. Here we assessed risk of impact by intersecting spatial distributions of 21,267 marine animal species with distributions of 13 anthropogenic stressors according to each species’ vulnerability, examining results through multiple lenses that connect to different conservation objectives: species, taxon, and functional vulnerability. Using this species-focused approach, we found that vulnerable functional entities in coastal ecosystems across all marine ecological provinces are at greater risk of impact than indicated by assessments of broader ecosystem-level impact risk based on vulnerability of representative habitats, driven largely by climate stressors. Where multiple lenses of impact assessment indicate elevated risk, broad area-based protections may be warranted, but where impacts are focused on vulnerable functional entities there may be opportunities for more narrowly targeted conservation strategies such as local habitat restoration, assisted migration, or fishing gear restrictions. These results provide key insights at local to global scales on where and how to best meet conservation of species diversity and ecosystem function.