Predicting past distributions of species climatic niches, hindcasting, by using climate envelope models (CEMs) is emerging as an exciting research area. CEMs are used to examine veiled evolutionary questions about extinctions, locations of past refugia and migration pathways, or to propose hypotheses concerning the past population structure of species in phylogeographical studies. CEMs are sensitive to theoretical assumptions, to model classes and to projections in non-analogous climates, among other issues. Studies hindcasting the climatic niches of species often make reference to these limitations. However, to obtain strong scientific inferences, we must not only be aware of these potential limitations but we must also overcome them. Here, I review the literature on hindcasting CEMs. I discuss the theoretical assumptions behind niche modelling, i.e. the stability of climatic niches through time and the equilibrium of species with climate. I also summarize a set of 'recommended practices' to improve hindcasting. The studies reviewed: (1) rarely test the theoretical assumptions behind niche modelling such as the stability of species climatic niches through time and the equilibrium of species with climate; (2) they only use one model class (72% of the studies) and one palaeoclimatic reconstruction (62.5%) to calibrate their models; (3) they do not check for the occurrence of non-analogous climates (97%); and (4) they do not use independent data to validate the models (72%). Ignoring the theoretical assumptions behind niche modelling and using inadequate methods for hindcasting CEMs may well entail a cascade of errors and naïve ecological and evolutionary inferences. We should also push integrative research lines linking macroecology, physiology, population biology, palaeontology, evolutionary biology and CEMs for a better understanding of niche dynamics across space and time.