As the climate warms, species are shifting their ranges to match their climatic niches, leading to the warming of ecological communities (thermophilisation). We currently have little understanding of the population-level processes driving this community-level warming, particularly at rapidly warming high latitudes. Using 30 years of high-resolution moth monitoring data across a 1200 km latitudinal gradient in Finland, we find that higher latitude communities are experiencing more rapid thermophilisation. We attribute this spatial variation to colonisation-extinction dynamics, both for the full community and for thermal affinity groups. Our findings reveal that latitudinal variation in the pathways underpinning thermophilisation is the net outcome of opposite forces: in the north, community warming is driven by the extinction of cold-affiliated species, while in the south it is driven by high colonisation rates of warm-affiliated species. Thus, we show how species' thermal affinities influence community reorganisation and highlight the elevated extinction risk among cold-affiliated species.