Under what conditions do citizens support public action on climate change? We build on comparative political economy arguments that link support for climate policies to individuals' perceptions of the costs and benefits associated with both the effects of climate change itself, and the specific policy aimed at mitigation and adaptation. Our argument builds on the idea of cross-pressured regions and individuals. Regional and individual capacity to a) adapt to climate risks but also b) bear the costs of climate action varies. In the light of increased visibility of the effects of climate change on our daily lives, a systematic comparison of climate risks and climate policy vulnerability beyond regions traditionally scrutinized, such as coastal lines or coal mining heartlands, is warranted. To this end, we integrate the IPCC’s climate risk components (hazard, exposure, and vulnerability) into our theoretical framework, facilitating much needed conceptual consistency across disciplines. Empirically, we merge micro-level data from the European Social Survey (2016) with regional-level data on local climate risk from the European Spatial Planning Observation Network (2022) and data on regional economic and social characteristics to employ multilevel models that examine support for public climate action in 259 European regions comparatively. At a time in which governments globally are ramping up their efforts to address a looming climate crisis, the results from our analysis leverage new insights into how the cost of climate change effects and the cost of policy shape acceptance of indispensable public action on climate change.