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Simple Summary: The cotton mealybug, Phenacoccus solenopsis, native to the USA, is a globally invasive quarantine pest. This pest has now spread to more than 43 countries and covered all continents except Antarctica, posing a serious threat to agricultural and forestry production, as well as biosecurity. The niche conservatism hypothesis states a tendency for species to maintain their original ecological niches in time and space and has been widely debated. In this study, based on the multidimensional hypervolume analysis and species distribution model, we identified the niche dynamics of this pest and further assessed its global invasion risk. The results indicated that the niche hypervolume in invasive ranges was significantly larger than that in native ranges, with 99.45% of the niche differentiation contributed by niche expansion rather than spatial replacement. Niche expansion was especially evident in Oceania and Eurasia. Compared to 2017, the current area of suitable habitats had increased significantly and this pest would expand northwards from the south in future climate change scenarios. The invasion risk in North Africa, northern China, areas along the Mediterranean, and northern Europe should not be ignored. As a globally invasive quarantine pest, the cotton mealybug, Phenacoccus solenopsis, is spreading rapidly, posing serious threats against agricultural and forestry production and biosecurity. In recent years, the niche conservatism hypothesis has been widely debated, which is particularly evident in invasive biology research. Identifying the niche dynamics of P. solenopsis, as well as assessing its global invasion risk, is of both theoretical and practical importance. Based on 462 occurrence points and 19 bioclimatic variables, we used n-dimensional hypervolume analysis to quantify the multidimensional climatic niche of this pest in both its native and invasive ranges. We examined niche conservatism and further optimized the MaxEnt model parameters to predict the global invasion risk of P. solenopsis under both current and future climate conditions. Our findings indicated that the niche hypervolume of this pest in invasive ranges was significantly larger than that in its native ranges, with 99.45% of the niche differentiation contributed by niche expansion, with the remaining less than 1% explained by space replacement. Niche expansion was most evident in Oceania and Eurasia. The area under the receiver operating characteristic curve (0.83) and true skill statistic (0.62) indicated the model's robust performance. The areas of suitable habitats for P. solenopsis are increasing significantly and the northward spread is obvious in future climate change scenarios. North Africa, northern China, Mediterranean regions, and northern Europe had an increased invasion risk of P. solenopsis. This study provided scientific support for the early warning and control of P. solenopsis. [ABSTRACT FROM AUTHOR]