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Background: Climate change is already affecting the distributions of many species and may lead to numerous extinctions over the next century. Small-range species are likely to be a special concern, but the extent to which they are sensitive to climate is currently unclear. Species distribution modeling, if carefully implemented, can be used to assess climate sensitivity and potential climate change impacts, even for rare and cryptic species., Methodology/principal Findings: We used species distribution modeling to assess the climate sensitivity, climate change risks and conservation implications for a threatened small-range mammal species, the Iberian desman (Galemys pyrenaicus), which is a phylogenetically isolated insectivore endemic to south-western Europe. Atlas data on the distribution of G. pyrenaicus was linked to data on climate, topography and human impact using two species distribution modeling algorithms to test hypotheses on the factors that determine the range for this species. Predictive models were developed and projected onto climate scenarios for 2070-2099 to assess climate change risks and conservation possibilities. Mean summer temperature and water balance appeared to be the main factors influencing the distribution of G. pyrenaicus. Climate change was predicted to result in significant reductions of the species' range. However, the severity of these reductions was highly dependent on which predictor was the most important limiting factor. Notably, if mean summer temperature is the main range determinant, G. pyrenaicus is at risk of near total extinction in Spain under the most severe climate change scenario. The range projections for Europe indicate that assisted migration may be a possible long-term conservation strategy for G. pyrenaicus in the face of global warming., Conclusions/significance: Climate change clearly poses a severe threat to this illustrative endemic species. Our findings confirm that endemic species can be highly vulnerable to a warming climate and highlight the fact that assisted migration has potential as a conservation strategy for species threatened by climate change.