In southern Africa, the connections between climate and the water–energy–food nexus are strong. Physical and socioeconomic exposure to climate is high in many areas and in crucial economic sectors. Spatial interdependence is also high, driven, for example, by the regional extent of many climate anomalies and river basins and aquifers that span national boundaries. There is now strong evidence of the effects of individual climate anomalies, but associations between national rainfall and gross domestic product and crop production remain relatively weak. The majority of climate models project decreases in annual precipitation for southern Africa, typically by as much as 20% by the 2080s. Impact models suggest these changes would propagate into reduced water availability and crop yields. Recognition of spatial and sectoral interdependencies should inform policies, institutions and investments for enhancing water, energy and food security. Three key political and economic instruments could be strengthened for this purpose: the Southern African Development Community, the Southern African Power Pool and trade of agricultural products amounting to significant transfers of embedded water.