Addressing climate change vulnerability requires an understanding of both the level of climate impacts and the capacity of the exposed population to cope. This study developed a methodology for allowing users to explore vulnerability to changes in ecosystem services as a result of climatic and socio-economic changes. It focuses on the vulnerability of Europe across multiple sectors by combining the outputs of a regional integrated assessment (IA) model, the CLIMSAVE IA Platform, with maps of coping capacity based on the five capitals approach. The presented methodology enables stakeholder-derived socio-economic futures to be represented within a quantitative integrated modelling framework in a way that changes spatially and temporally with the socio-economic storyline. Vulnerability was mapped for six key ecosystem services in 40 combined climate and socio-economic scenarios. The analysis shows that, whilst the north and west of Europe are generally better placed to cope with climate impacts than the south and east, coping could be improved in all areas. Furthermore, whilst the lack of coping capacity in dystopian scenarios often leads to greater vulnerability, there are complex interactions between sectors that lead to patterns of vulnerability that vary spatially, with scenario and by sector even within the more utopian futures.