One key hypothesis explaining the fate of exotic species introductions posits that the establishment of a self-sustaining population in the invaded range can only succeed within conditions matching the native climatic niche. Yet, this hypothesis remains untested for individual release events. Using a dataset of 979 introductions of 173 mammal species worldwide, we show that climate-matching to the realized native climatic niche, measured by a new Niche Margin Index (NMI), is a stronger predictor of establishment success than most previously tested life-history attributes and historical factors. Contrary to traditional climatic suitability metrics derived from species distribution models, NMI is based on niche margins and provides a measure of how distant a site is inside or, importantly, outside the niche. Besides many applications in research in ecology and evolution, NMI as a measure of native climatic niche-matching in risk assessments could improve efforts to prevent invasions and avoid costly eradications.