Protected area (PA) performance is thought to depend on effective conservation management and favourable socio-economic context. However, increasing evidence of continued biodiversity decline within PAs raises the question of whether fundamental ecological and socio-economic constraints might actually affect PA effectiveness. Here we quantify how threats to biodiversity, socio-economic context and conservation efforts play out across 114 PAs in 25 European and African countries. We found that even in the presence of highly favourable socio-economic context and conservation efforts, it is not possible to completely offset the intensity of threats and prevent biodiversity decline. Projections show that halting biodiversity decline across the studied PA network may require at least a 35% increase in conservation efforts over a decade. However, as PAs approach zero biodiversity loss, even greater efforts and resources would be needed because of the principle of diminishing marginal returns. Our findings point to limited effectiveness of PAs and their management that might not be possible to address by simply increasing resources. Additionally, the adoption of core design principles of sustainable systems that take into account the social–ecological contexts of PAs could help overcome the observed hurdles of limited effectiveness and thus better integrate PAs into sustainable development efforts.