We present a global water cycle reanalysis that merges water balance estimates derived from the Gravity Recovery And Climate Experiment (GRACE) satellite mission, satellite water level altimetry and off-line estimates from several hydrological models. Error estimates for the sequential data assimilation scheme were derived from available uncertainty information and the triple collocation technique. Errors in four GRACE storage products were estimated to be 11–12 mm over land areas, while errors in monthly storage changes derived from five global hydrological models were estimated to be 17–28 mm. Prior and posterior water storage estimates were evaluated against independent observations of river water level and discharge, snow water storage and glacier mass loss. Data assimilation improved or maintained agreement overall, although results varied regionally. Uncertainties were greatest in regions where glacier mass loss and subsurface storage decline are both plausible but poorly constrained. We calculated a global water budget for 2003–2012. The main changes were a net loss of polar ice caps (−342 Gt yr<sup>−1</sup>) and mountain glaciers (−230 Gt yr<sup>−1</sup>), with an additional decrease in seasonal snowpack (−18 Gt yr<sup>−1</sup>). Storage increased due to new impoundments (+16 Gt yr<sup>−1</sup>), but this was compensated by decreases in other surface water bodies (−10 Gt yr<sup>−1</sup>). If the effect of groundwater depletion (−92 Gt yr<sup>−1</sup>) is considered separately, subsurface water storage increased by +202 Gt yr<sup>−1</sup> due particularly to increased wetness in northern temperate regions and in the seasonally wet tropics of South America and southern Africa. The reanalysis results are publicly available via <a href="www.wenfo.org/wald/"target="_blank">www.wenfo.org/wald/</a>.