The deviation of expected relationships between taxonomic (TD), phylogenetic (PD), and functional (FD) diversity may inform about some processes (speciation, extinction, competition, and migration) responsible for current biodiversity patterns. We studied the relationship between different dimensions of bird diversity (TD, PD, and FD) of the Yucatan Peninsula (YP) in a context of future climate change. We used ecological niche models to predict the current and future potential distribution of 257 bird species of the YP and estimate their TD, PD, and FD. We calculated a standardized effect size of PD (SES.PD) and FD (SES.FD) to provide an estimation of phylogenetic and functional diversity, independent from species richness. Finally, we evaluated the effectiveness of the system of PAs comparing the observed diversity values in each PA versus what is expected for a null model. We found a positive correlation between PD and TD, and a negative correlation between FD and TD in the current and future scenarios. Finally, we found that none of the PAs protect more diversity of birds than expected by a null model. Our results suggest that macroevolutionary processes have played an important role in the composition of the current Yucatan Peninsula avian assemblages. Our assessment of the effectiveness of the PAs suggests the need to adopt an integrative approach to biodiversity conservation in the YP.