Deeper coral reefs experience reduced temperatures and light and are often shielded from localized anthropogenic stressors such as pollution and fishing. The deep reef refugia hypothesis posits that light-dependent stony coral species at deeper depths are buffered from thermal stress and will avoid bleaching-related mass mortalities caused by increasing sea surface temperatures under climate change. This hypothesis has not been tested because data collection on deeper coral reefs is difficult. Here we show that deeper (mesophotic) reefs, 30–75 m depth, in the Caribbean are not refugia because they have lower bleaching threshold temperatures than shallow reefs. Over two thermal stress events, mesophotic reef bleaching was driven by a bleaching threshold that declines 0.26 °C every +10 m depth. Thus, the main premise of the deep reef refugia hypothesis that cooler environments are protective is incorrect; any increase in temperatures above the local mean warmest conditions can lead to thermal stress and bleaching. Thus, relatively cooler temperatures can no longer be considered a de facto refugium for corals and it is likely that many deeper coral reefs are as vulnerable to climate change as shallow water reefs.