Climate change is reshaping species’ distributions around the globe, yet different factors may drive species’ responses at different spatial scales from global to local. Environmental conditions and biotic interactions may thus change in relative importance in terms of influencing species’ occurrence according to the considered spatial extent, making a multi-scale approach key to understanding species’ distributions and future range dynamics. In this study, we tested the relative roles of climate and interspecific competition in shaping the distributions of two cryptic species of Orthopterans at global and regional scales. Namely, we assessed the spatial responses to climate change in two Oecanthus tree crickets (O. pellucens and O. dulcisonans) that show ecological and morphological resemblance, and partial range overlap. We found significant and species-specific associations with bioclimatic variables related to temperature and to precipitation. We also observed divergence in predicted responses between the two species, showing massive range loss for O. pellucens and slight expansion for O. dulcisonans under future scenarios. This result was also supported by environmental niche analysis, indicating O. pellucens as a significantly more specialized taxon in terms of climatic niche. At a regional scale, we present evidence for how interspecific competition may play a strong and asymmetrical role in determining species’ presence, with only O. pellucens being significantly affected by O. dulcisonans, and not vice-versa. Our results shed light on the potential responses of Orthopterans to climate change, and on the spatial-specific respective roles of climate and competition in shaping species’ distributions. Moreover, we highlight how, within cryptic species complexes, competition dynamics and niche specialization may represent key elements in determining winners and losers in the race against climate change.