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With global warming, coastal areas are exposed to multiple climate-related hazards. Understanding the facts and attribution of regional climate change in coastal communities is a frontier science challenge. In this study, we focus on fact analysis of multi-scale climate changes in the Guangdong–Hong Kong–Macao Greater Bay area (GBA) and around the Baltic Sea area (BSA). We selected three Asian stations from the GBA in South China (Guangzhou, Hong Kong, and Macao) and five European stations around the Baltic Sea (Stockholm, Haparanda A, Vestervig, Poznan, and Frankfurt) from four countries in the BSA as representative stations, which have more than 100- or 150-year datasets. Based on the ensemble empirical mode decomposition (EEMD) and Mann–Kendall methods, this study focuses on the multi-scale temperature and precipitation fluctuation and mutation analysis in the past. The multi-scale analyses show that there are four time-scale changes in both areas. They are the inter-annual scale, inter-decadal scale, centennial scale, and trend, but the lengths of different timescales vary in both regions, especially the inter-decadal scale and centennial scale. For temperature, the inter-annual scales show the same results, with 2–4 and 7–9 a in both the GBA and BSA. In the GBA, the inter-decadal scales are 10–14, 30–50, and 55–99 a, while in the BSA, they are 13–20, 26–50, and 66–99 a. For centennial scales, there are 143–185 and 200–264 a in the BSA and about 100–135 a in the GBA. Temperature trends in the GBA reveal that the coastal area has experienced an upward trend (Hong Kong and Macao), but in the inland area (Guangzhou), the trend fluctuated. Temperature trends in the BSA have risen since 1756. For precipitation, the inter-annual scales are 2–4 and 6–9 a in both the GBA and BSA. The inter-decadal scales are 11–29 and 50–70 a in the GBA and 11–20, 33–50, and 67–86 a in the BSA. For centennial scales, there are about 100 a in the GBA and 100–136 a in the BSA. In the GBA, the precipitation trends show stronger local characteristics, with three different fluctuation types. In the BSA, most stations had a fluctuating trend except Haparanda A and Vestervig station, which experienced an upward trend throughout the whole time range. Overall, there are no unified trends for precipitation in both areas. Temperature mutation tests show that only Vestervig in the BSA changed abruptly in 1987, while the mutation point of Macao in the GBA was 1991. Precipitation mutation points of Stockholm and Vestervig were 1878 and 1918 in the BSA, while only Macao in the GBA changed abruptly in 1917. The results reveal that the regional climate mutation of both areas is not obvious, but the temperature changes with an upward trend as a whole. [ABSTRACT FROM AUTHOR]