To conserve marine biodiversity, we must first understand the spatial distribution and status of at‐risk biodiversity. We combined range maps and conservation status for 5,291 marine species to map the global distribution of extinction risk of marine biodiversity. We find that for 83% of the ocean, >25% of assessed species are considered threatened, and 15% of the ocean shows >50% of assessed species threatened when weighting for range‐limited species. By comparing mean extinction risk of marine biodiversity to no‐take marine reserve placement, we identify regions where reserves preferentially afford proactive protection (i.e., preserving low‐risk areas) or reactive protection (i.e., mitigating high‐risk areas), indicating opportunities and needs for effective future protection at national and regional scales. In addition, elevated risk to high seas biodiversity highlights the need for credible protection and minimization of threatening activities in international waters.