This study examined the effects of observed climate including [CO2] on winter cereal [winter wheat (Triticum aestivum), barley (Hordeum vulgare) and oat (Avena sativa)] yields by adopting robust statistical analysis/modelling approaches (i.e. autoregressive fractionally integrated moving average, generalised addition model) based on long time series of historical climate data and cereal yield data at three locations (Moree, Dubbo and Wagga Wagga) in New South Wales, Australia. Research results show that (1) growing season rainfall was significantly, positively and non-linearly correlated with crop yield at all locations considered; (2) [CO2] was significantly, positively and non-linearly correlated with crop yields in all cases except wheat and barley yields at Wagga Wagga; (3) growing season maximum temperature was significantly, negatively and non-linearly correlated with crop yields at Dubbo and Moree (except for barley); and (4) radiation was only significantly correlated with oat yield at Wagga Wagga. This information will help to identify appropriate management adaptation options in dealing with the risk and in taking the opportunities of climate change.