Protected areas are considered fundamental to counter biodiversity loss. However, evidence for their effectiveness in averting local extinctions remains scarce and taxonomically biased. We employ a robust counterfactual multi-taxon approach to compare occupancy patterns of 638 species, including birds (150), mammals (23), plants (39) and phytoplankton (426) between protected and unprotected sites across four decades in Finland. We find mixed impacts of protected areas, with only a small proportion of species explicitly benefiting from protection—mainly through slower rates of decline inside protected areas. The benefits of protection are enhanced for larger protected areas and are traceable to when the sites were protected, but are mostly unrelated to species conservation status or traits (size, climatic niche and threat status). Our results suggest that the current protected area network can partly contribute to slow down declines in occupancy rates, but alone will not suffice to halt the biodiversity crisis. Efforts aimed at improving coverage, connectivity and management will be key to enhance the effectiveness of protected areas towards bending the curve of biodiversity loss.