A 133 yr data set from the 1055 km<sup>2 </sup>Skjern River catchment in western Denmark has been analysed with respect to precipitation, temperature, evapotranspiration and discharge. The precipitation series have been tested and corrected using the standard normal homogeneity test and subsequently corrected for undercatch. The degree of change in the climatic variables is examined using the non-parametric Mann–Kendall test. During the last 133 yr the area has experienced a significant change in precipitation of 26% and a temperature change of 1.4°C, leading to increases in river discharge of 52% and groundwater recharge of 86%. A lumped conceptual hydrological model, NAM, was calibrated on the period 1951–1980 and showed generally an excellent match between simulated and observed discharge. The capability of the hydrological model to predict climate change impact was investigated by looking at performances outside the calibration period. The results showed a reduced model fit, especially for recent time periods (after the 1980s), and not all hydrological changes could be explained. This might indicate that hydrological models cannot be expected to predict climate change impacts on discharge as accurately in the future, compared to the performance under present conditions, where they can be calibrated. The (simulated) stream discharge was subsequently analysed using high flow and drought indices based on the threshold method. The extreme signal was found to depend highly on the period chosen as reference to normal. The analysis indicated that no significant amplitude increase of the hydrograph for both wet and dry extremes could be found superimposed on the overall discharge increase.