Attributes of a species' spatial distribution, such as the number of occurrences and the spatial distribution of those occurrences, can affect extinction risk. Extinction risk, however, is scale dependent, and it is unclear how scale dependency affects linkages between species' distributions and extinction risk. Here, we evaluate the relationships between number of occurrences, distributional fragmentation, and extinction risk for a diverse assemblage of desert fishes across multiple spatial scales. We used the SONFISHES biodiversity database, which details occurrence patterns of 25 native fishes to contrast the species' historical distributions with their much‐reduced modern distributions. Defining occurrences (and losses to extinction) at each of five scales (5, 25, 100, 500, and 2500 km of stream reach), we found that range fragmentation was a stronger predictor of extinction risk than the number of occurrences for all scales of analysis. Furthermore, we detected scale dependence in the strength of the predictive relationship between fragmentation and extinction, with loss of occurrences at intermediate scales (∼100 km of stream reach) being most closely tied to range fragmentation. Importantly, our results proved insensitive to our definition of the historical and modern periods. These findings highlight the value of multiscale analyses to investigations of extinction in species assemblages.