AbstractWeather and climate affect many ecological processes, making spatially continuous yet fine‐resolution weather data desirable for ecological research and predictions. Numerous downscaled weather data sets exist, but little attempt has been made to evaluate them systematically. Here we address this shortcoming by focusing on four major questions: (1) How accurate are downscaled, gridded climate data sets in terms of temperature and precipitation estimates? (2) Are there significant regional differences in accuracy among data sets? (3) How accurate are their mean values compared with extremes? (4) Does their accuracy depend on spatial resolution? We compared eight widely used downscaled data sets that provide gridded daily weather data for recent decades across the United States. We found considerable differences among data sets and between downscaled and weather station data. Temperature is represented more accurately than precipitation, and climate averages are more accurate than weather extremes. The data set exhibiting the best agreement with station data varies among ecoregions. Surprisingly, the accuracy of the data sets does not depend on spatial resolution. Although some inherent differences among data sets and weather station data are to be expected, our findings highlight how much different interpolation methods affect downscaled weather data, even for local comparisons with nearby weather stations located inside a grid cell. More broadly, our results highlight the need for careful consideration among different available data sets in terms of which variables they describe best, where they perform best, and their resolution, when selecting a downscaled weather data set for a given ecological application.