According to Bergmann's and Allen's rules, climate change may drive morphological shifts in species, affecting body size and appendage length. These rules predict that species in colder climates tend to be larger and have shorter appendages to improve thermoregulation. Bats are thought to be sensitive to climate and are therefore expected to respond to climatic changes across space and time. We conducted a phylogenetic meta‐analysis on > 27 000 forearm length (FAL) and body mass (BM) measurements from 20 sedentary European bat species to examine body size patterns. We assessed the relationships between body size and environmental variables (winter and summer temperatures, and summer precipitation) across geographic locations, and also analysed temporal trends in body size. We found sex‐specific morphological shifts in the body size of European bats in response to temperature and precipitation patterns across space, but no clear temporal changes due to high interspecific variability. Across Europe, male FAL decreased with increasing summer and winter temperatures, and BM increased with greater precipitation. In contrast, both FAL and BM of female bats increased with summer precipitation and decreased with winter temperatures. Our data can confirm Bergmann's rule for both males and females, while females' BM variations are also related to summer precipitation, suggesting a potential link to resource availability. Allen's rule is confirmed only in males in relation to summer temperature, while in females FAL and BM decrease proportionally with increasing temperature, maintaining a constant allometric relationship incompatible with Allen's rule. This study provides new insights into sex and species‐dependent morphological changes in bat body size in response to temperature and precipitation patterns. It highlights how body size variation reflects adaptations to temperature and precipitation patterns, thus providing insights into potential species‐level morphological responses to climate change across Europe.