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Quaternary climate changes have contributed to shape the biogeographic distribution of extant species. The combination of climatic niche conservatism and glacial‐interglacial cycles forced many species to retract their range limits for surviving under the advance of Pleistocene ice‐sheets. Refugia offered geographical opportunities for species to retreat, persist and, later on, begin recolonization processes under favourable environmental conditions. Here we explore the hypothesis that refugia have been not only crucial for the survival of multiple species but also acted as speciation centres for Western Palaearctic mammals. We define ‘recurrent massive refugia’ as those geographical regions that have historically accumulated the highest levels of co‐occurring species for several Quaternary cycles. Our assemblage‐level analyses identify the existence of refugia within the Iberian Peninsula and the Atlantic French margin that were recurrently selected by most mammals. The topographic heterogeneity, climatic stability and microhabitat availability of these refugial areas may have offered suitable habitat conditions for multiple species during different climatic events over time. Using a Bayesian analysis of macroevolutionary mixtures we detected that the higher level of divergence and accumulative evolutionary changes in mammals of the Western Palaearctic are found in refugia. The continuous retractions and expansions of species’ ranges during the Pleistocene promoted temporal changes in the composition and richness of communities in this biogeographic region. The reorganization of ecological composition driven by cyclical climatic events may have favoured the emergence of biotic interactions and ecological responses conducive to novel selective pressures. Our findings suggest, first, that multiple climatic changes in the form of glacial‐interglacial transitions during the Quaternary have left a detectable imprint on the observed geographical patterns of species richness in mammalian faunas of the Western Palaearctic, and second, highlight the importance of refugia for the preservation of species (‘museums’) and as centers of speciation and endemism (‘cradles’) as well.