Water insecurity is a global concern likely to be compounded by increases in population and climate change. Existing water insecurity measurement methods capture multidimensional deprivation only at regional or sub-regional levels. Such estimates do not capture heterogeneous household experiences of water supply, proximity to water sources and affordability, which can vary substantially from regional averages. Accurate measurement requires a method that captures the incidence and intensity of a household’s simultaneous deprivation in dimensions of water accessibility, affordability, sufficiency and safety. We propose such a method and assess related inequalities using an approach analogous to the Alkire–Foster methodology for multidimensional poverty. Using household-level data from the Kenya Integrated Household Budget Survey 2015/16, we find that 63% of the Kenyan population experience multiple deprivation in water access. The dimensions of water affordability and sufficiency contribute most to multidimensional water insecurity, highlighting the need to ensure an adequate supply of affordable water. Disparities by household place of residence, dwelling type, and socio-economic status are evident. The estimates of multidimensional water insecurity are robust to different deprivation and poverty cutoffs. Our analysis is an invitation to rethink water insecurity metrics, allowing water deprivation to be measured more frequently and with greater precision to understand its impact clearly.