The selection of relevant factors and appropriate spatial scale(s) is fundamental when modelling species response to climate change. We evaluated whether the effects of climate factors on species distribution/occurrence are consistently modelled over different spatial scales in birds, and used a two-scale approach to identify species-climate correlations unlikely to represent causal effects. We used passerine birds inhabiting mountain grassland in the Apennines (Italy) as a model. We surveyed four grassland species at 400 sampling points, and built habitat selection models (territory scale) and distribution models (7 algorithms, landscape scale). We compared the effect of climatic predictors on occurrence/distribution highlighted by models over to the two spatial scales, and with the effects supposed a priori based on the climatic niche of each species. Models at the territory level included at least one climatic predictor for three species; the observed effect of climatic predictors was seldom consistent with supposed effects. At the broadest scale, distribution models for all species included climatic predictors, with varying consistence with supposed effects and findings at the finer scale. Despite the importance of climate for species distribution, occurrence could be more directly related to other factors, with important implications for understanding/predicting the impacts of climate/environmental changes. Our approach revealed key variables for grassland birds, and highlighted the scale-dependent perceived importance of climate. At the local scale, climate effects were weak or hard to interpret. We found a general lack of consistence between supposed and observed effects at the territory level, and between landscape and territory models. Our results show the importance of predicting the potential effect of climatic factors prior to the analyses, carefully selecting ecologically meaningful variables and scales, and evaluating the nature and scale of climate-species links. We call for caution when predicting under future climates, especially when mechanistic effects and consistency across scales lack.