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Simple Summary: Falcons are keystone species that maintain ecosystem structures, functions, and services. With the help of phylogenetic comparative methods, climatic data, and species distribution modeling, we investigated how European falcon climatic niches have changed over evolutionary time. Convergent evolution and niche divergence have played an important role in the evolutionary history of these species, with speciation being influenced by climatic niche differentiation, more prevalent in the last 4 million years, with the main climatic niche shifts occurring between closely related falcon species. By integrating species distribution modeling techniques, phylogenetic comparative methods, and climatic data, we analyzed how European falcon climatic niches have changed over evolutionary time in order to understand their tempo and mode of evolution and gain phylogenetic insights related to the ecological context of falcon evolution. For this purpose, we tested the relative contributions of niche conservatism, convergent evolution, and divergent evolution in the evolutionary history of this group of species in Europe. The occupation of climatic niche spaces by falcon species in Europe was not similar, considering that their climatic niche evolution was characterized by heterotachy, especially after ca. 4 Mya. Our results indicate that convergent evolution and niche divergence played an important role in the evolutionary history of these species, with no significant evidence of closely related species retaining their fundamental niche over time (phylogenetic niche conservatism). In most analyses, less closely related falcon species occupied similar climatic environments. We found that speciation in the European genus Falco was influenced by climatic niche differentiation, more prevalent in the last 4 million years, with the main climatic niche shifts occurring between closely related falcon species. [ABSTRACT FROM AUTHOR]