We are concerned with the persistence of both predator and prey in a diffusive predator-prey system with a climate change effect, which is modeled by a spatial-temporal heterogeneity depending on a moving variable. Moreover, we consider both the cases of nonlocal and local dispersal. In both these situations, we first prove the existence of forced waves, which are positive stationary solutions in the moving frames of the climate change, of either front or pulse type. Then we address the persistence or extinction of the prey and the predator separately in various moving frames, and achieve a complete picture in the local diffusion case. We show that the survival of the species depends crucially on how the climate change speed compares with the minimal speed of some pulse type forced waves.