This paper reviews the opportunities and pitfalls associated with using clay mineralogical analysis in palaeoclimatic reconstructions. Following this, conjunctive methods of improving the reliability of clay mineralogical analysis are reviewed. The Mesozoic succession of NW Europe is employed as a case study. This demonstrates the relationship between clay mineralogy and palaeoclimate. Proxy analyses may be integrated with clay mineralogical analysis to provide an assessment of aridity-humidity contrasts in the hinterland climate. As an example, the abundance of kaolinite through the Mesozoic shows that, while interpretations may be difficult, the Mesozoic climate of NW Europe was subject to great changes in rates of continental precipitation. We may compare sedimentological (facies, mineralogy, geochemistry) indicators of palaeoprecipitation with palaeotemperature estimates. The integration of clay mineralogical analyses with other sedimentological proxy indicators of palaeoclimate allows differentiation of palaeoclimatic effects from those of sea-level and tectonic change. We may also observe how widespread palaeoclimate changes were; whether they were diachronous or synchronous; how climate, sea level and tectonics interact to control sedimentary facies and what palaeoclimate indicators are reliable.