Proboscideans were keystone Cenozoic megaherbivores and present a highly relevant case study to frame the timing and magnitude of recent megafauna extinctions against long-term macroevolutionary patterns. By surveying the entire proboscidean fossil history using model-based approaches, we show that the dramatic Miocene explosion of proboscidean functional diversity was triggered by their biogeographical expansion beyond Africa. Ecomorphological innovations drove niche differentiation; communities that accommodated several disparate proboscidean species in sympatry became commonplace. The first burst of extinctions took place in the late Miocene, approximately 7 million years ago (Ma). Importantly, this and subsequent extinction trends showed high ecomorphological selectivity and went hand in hand with palaeoclimate dynamics. The global extirpation of proboscideans began escalating from 3 Ma with further extinctions in Eurasia and then a dramatic increase in African extinctions at 2.4 Ma. Overhunting by humans may have served as a final double jeopardy in the late Pleistocene after climate-triggered extinction trends that began long before hominins evolved suitable hunting capabilities. The authors use model-based approaches to examine the entire fossil history of proboscideans, from their dispersal outside of Afro-Arabia in the Oligocene to late Miocene extirpations and Quaternary collapse, identifying the innovations that allowed this group to overcome 60 million years of severe environmental shifts.