During the last two decades, numerous studies applied to various continental deposits have highly improved the knowledge of environmental changes in Western Europe during the last climatic cycles. Here we review a set of available data, and try to correlate and compare the three long lacustrine sequences from France (La Grande Pile, Les Echets and Le Velay) with other west European discontinuous limnic deposits, fluvial systems and lœss accumulations. Limnic sequences provide the best records of the last Interglacial and Early Glacial (ca. 125–75 kyr) allowing a clear picture of environmental changes during this interval. Nevertheless, there are divergent interpretations on the timing and climate regime of the last Interglacial. During the last Glacial, in the North Atlantic deep-sea cores and Greenland ice cores, short-term abrupt climatic fluctuations (Bond events, Dansgaard–Oeschger events) which are poorly or partly reflected on the continent have been recognised. The classical subdivision in a Lower (ca. 75–55 kyr) (very cold), Middle (ca. 55–29 kyr) (cold) and Upper Pleniglacial (ca. 29–15 kyr) (very cold) is confirmed both by limnic and terrestrial sequences. In the Rhine valley, north-eastern France, Belgium and the Netherlands, subcontinuous lœss accumulation, river systems and associated periglacial features provide quantitative climate reconstructions that are compared with those obtained from limnic sequences. Interstadial events may be correlated with the major warm oscillations of the GRIP core. During the Upper Pleniglacial, no clear vegetation changes are apparent from lacustrine pollen sequences, whereas thick lœss accumulations have registered a succession of climatic changes. The timing of the Lateglacial warming is now well documented from rare annually laminated lake sediments.