While biological invasions continue to threaten biodiversity, most of current assessments focus on the sole exposure to invasive alien species (IAS), without considering native species' response to the threat. Here, we address this gap by assessing vertebrates' vulnerability to biological invasions, combining measures of both (i) exposure to 304 identified IAS and (ii) realized sensitivity of 1600 native vertebrates to this threat. We used the IUCN Red List of Threatened Species to identify species threatened by IAS, their distribution, and the species' range characteristics of their associated IAS. We found that 38% of worldwide terrestrial lands are exposed to biological invasions, but exposure alone was insufficient to assess vulnerability since we further found that most of the world hosted native species sensitive to biological invasions. We delineated areas highly vulnerable to biological invasions, that is, combining areas of high exposure and high sensitivity to IAS, located in Australia and coastal states of North America with a high confidence level, but also—depending on the group—in Pacific islands, Southern America, Western Europe, Southern Africa, Eastern Asia, and New‐Zealand with a medium confidence level. Assessing the completeness in exposure data, we revealed strong biases in the global description of the well‐known invasion hotspots, with limited areas being assessed with a medium to high confidence level. The completeness of sensitivity was overall very high, for the three studied taxonomic groups. We also demonstrated that coldspots of vulnerability to biological invasions were areas of low confidence in terms of data completeness, which coincided with biodiversity hotspots. There is thus a critical need to address these knowledge shortfalls which jeopardize efficient conservation initiatives, regarding the threats to well‐known vertebrate taxa.