How does experiencing climate change affect political beliefs? There is mixed evidence of attitude change, but previous studies have not accounted for the differential effects of global warming that make some citizens more vulnerable than others. We argue that personal experience is more likely to lead to policy preference change when it is in an individual's self-interest because of one's vulnerability to future climate impacts. We test our argument using economic models of global warming, geospatial data on climate shocks, and rich survey data both across countries and over time with the same individuals. Experiencing climate change heightens risk perceptions and leads to greater support for mitigation only among individuals in locations facing future damages. The effect of experience is strongest among citizens in democratic countries. Incorporating political economy and behavioral theories helps to explain changing policy preferences.