Abstract Cities are not only major contributors to global climate change but also stand at the forefront of climate change impact. Quantifying and assessing the risk potentially induced by climate change has great significance for cities to undertake positive climate adaptation and risk prevention. However, most of the previous studies focus on global, national or regional dimensions, only a few have attempted to examine climate change risk at an urban scale and even less in the case of a recent literature review. As a result, a quantitative assessment of climate change risk for cities remains highly challenging. To fill this gap, the article makes a critical review of the recent literature on urban-scale climate change risk assessment, and classifies them into four major categories of studies which jointly constitute a stepwise modelling chain from global climate change towards urban-scale risk assessment. On this basis, the study summarizes the updated research progresses and discusses the major challenges to be overcome for the seamless coupling of climate simulation between different scales, the reproduction of compound climate events, the incorporation of non-market and long-lasting impacts and the representation of risk transmission insides or beyond a city. Furthermore, future directions to advance quantitative assessment of urban-scale climate change risk are highlighted, with fresh insights into improving study methodology, enriching knowledge of climate change impact on city, enhancing abundance and accessibility to data, and exploring the best practice to provide city-specific climate risk service.