The introduction and expansion of the Asian yellow-legged hornet (Vespa velutina nigrithorax) in Europe poses concern for multiple reasons, including biodiversity conservation. In addition to the predation of native insects (e.g., bees and wasps), this species may compete with native hornets due to an overlap of their climatic and trophic niches. The aim of this study is to investigate the realised climatic niche of V. v. nigrithorax and its response to climatic conditions and to evaluate the degree of overlap with the niches of the two native Vespa species present in Europe, Vespa crabro and Vespa orientalis. The niches of both native species partially overlap with the niche of the invasive species (Schoener’s D, 0.43 for V. crabro and 0.28 for V. orientalis), although some differences can be detected. V. crabro appears to be more adapted to cold and dry conditions than the invasive species, and V. orientalis is more adapted to arid climates. These differences may provide a competitive advantage to both native species in areas with a lower environmental suitability for V. v. nigrithorax, in the probable event that this species continues to spread, reaching all areas predicted to be suitable in Europe and in the Mediterranean basin.