This study investigates whether physical risk and transition risk factors affect South African bank lending behaviour. Results of baseline analysis suggest that physical climate risk negatively affects South African bank lending behaviour. Similarly, we find consistent results when considering climate transition risk proxied by the adoption of South Africa’s carbon tax in 2019. Finally, we find that the physical climate risk effect is stronger for commercial banks and tends to assume a non-linear U-shape effect. Our research provides one of the first empirical assessments of climate risk effects on the South African banking industry and includes useful suggestions for practitioners, policymakers and regulators.