Climate change will require novel conservation strategies. One such tactic is a coarse‐filter approach that focuses on conserving nature’s stage (CNS) rather than the actors (individual species). However, there is a temporal mismatch between the long‐term goals of conservation and the short‐term nature of most ecological studies, which leaves many assumptions untested. Paleoecology provides a valuable perspective on coarse‐filter strategies by marshaling the natural experiments of the past to contextualize extinction risk due to the emerging impacts of climate change and anthropogenic threats. We reviewed examples from the paleoecological record that highlight the strengths, opportunities, and caveats of a CNS approach. We focused on the near‐time geological past of the Quaternary, during which species were subjected to widespread changes in climate and concomitant changes in the physical environment in general. Species experienced a range of individualistic responses to these changes, including community turnover and novel associations, extinction and speciation, range shifts, changes in local richness and evenness, and both equilibrium and disequilibrium responses. Due to the dynamic nature of species responses to Quaternary climate change, a coarse‐filter strategy may be appropriate for many taxa because it can accommodate dynamic processes. However, conservationists should also consider that the persistence of landforms varies across space and time, which could have potential long‐term consequences for geodiversity and thus biodiversity.