Marine protected areas (MPAs) are the most widely applied tool for marine biodiversity conservation, yet many gaps remain in our understanding of their species‐specific effects, partly because the socio‐environmental context and spatial autocorrelation may blur and bias perceived conservation outcomes. Based on a large data set of nearly 3000 marine fish surveys spanning all tropical regions of the world, we build spatially explicit models for 658 fish species to estimate species‐specific responses to protection while controlling for the environmental, habitat and socio‐economic contexts experienced across their geographic ranges. We show that the species responses are highly variable, with ~40% of fishes not benefitting from protection. When investigating how traits influence species' responses, we find that rare top‐predators and small herbivores benefit the most from MPAs while mid‐trophic level species benefit to a lesser extent, and rare large herbivores experience adverse effects, indicating potential trophic cascades. While controlling for the social‐environmental context, we computed 658 species‐specific models to extract the effect of high, medium and low protection of marine reef fish species. We found that nearly 40% of the species did not benefit from protection. We also found that the response was influenced by traits linked to vulnerability to fishing, and that rarity mediated this response through interactions.