Coastal megacities are expected to experience higher and more frequent asymmetric hydroclimatic extremes with global warming, but few studies have assessed trends, extremes, and vulnerabilities under contrasting climatic regimes rigorously. This paper provides the first high-resolution comparative assessment of Lagos (Tropical West Africa) and Mumbai (monsoonal South Asia) using standardized indices and multi-decadal records (1981–2023). Daily temperatures and rainfall data were analyzed using ETCCDI extreme indices, non-parametric trend tests, and change-point detection methods. Stationary and non-stationary Generalized Extreme Value (GEV) models were fitted to provide estimates of evolving return levels of extreme rain and heat, and a composite socio-environmental vulnerability index which includes population density, infrastructure, and healthcare accessibility was generated. The results reflect opposing climate trends: Mumbai experienced a steeper increase in rainfall (+27.6 mm/year) versus Lagos (+4.07 mm/year), whereas the two cities both warmed significantly—nighttime temperatures in particular. Lagos experienced rising extreme heat (TXx, +0.047 °C/year), whereas Mumbai reflected a rise in chronic wet spells (CWD, +0.133 days/year). A regime shift was identified using change-point analysis in Mumbai around 2003–2005, corresponding with strengthening monsoons. Intense events grew more prominent and remained clustered in both cities, although Lagos exhibits larger interannual variability. GEV-based return level estimation reveals much higher 100-year threshold rainfall in Mumbai (478 mm) than in Lagos (99.6 mm). Spatial analysis revealed that flood exposure heavily overlaps with high social vulnerability areas in both cities. This paper contributes new insights to understanding how urban climate risks are diverging in character but converging in effect. It emphasizes the need for synchronized, place-based resilience planning for cities facing compounding extremes and diverse capacities for adaptation.