The importance of climate change has been illustrated by observational data, future projections, climate scenarios and a variety of scientific data. The industrial sector is exposed to the impact of climate change as well. There is a need to develop climate change vulnerability assessment. In this study, in order to assess the vulnerability associated with climate change, we focused on petroleum and automobile industry which are the representative industry of South Korea. Indicators and the proxy variables were set through the expert’s advice and Delphi survey, and we performed AHP analysis to determine the degree of importances between the proxy variables. Exposure generally presented high weights among vulnerability index, sensitivity and adaptive capacity are shown differently in each extreme climatic event. The vulnerability assessment can be carried out by constructing the variables to reflect the characteristics of the industrial sector, and also be contributive to the adaptation of climate change in the industry sector.