Lesotho provides a unique context for palaeoclimatic research. The small country is entirely landlocked by South Africa, yet has considerable variation in topography, climate, and associated vegetation over an approximate east–west transect. The region has been of archaeological interest for over a century, and hosts many Early to Late Stone Age sites with occupation preceding 80 000 years before present. The eastern Lesotho highlands are of interest to periglacial and glacial geomorphologists because of their well-preserved relict landforms and contentious evidence for permafrost and niche glaciation during the late Quaternary. However, continuous proxy records for palaeoenvironmental reconstructions for Lesotho are scarce and hampered by a range of methodological shortfalls. These challenges include uncertain ages, poor sampling resolution, and proxies extracted from archaeological excavations for which there may be bias in selection. Inferences on palaeoclimates are thus based predominantly on archaeological and palaeogeomorphological evidence for discrete periods during the late Quaternary. This review paper presents a more detailed multidisciplinary synthesis of late Quaternary conditions in Lesotho. We simultaneously considered the varying data that contribute to the under-studied palaeoenvironmental record for southern Africa. The collective palaeoenvironmental data for eastern Lesotho were shown to be relatively contradictory, with considerable variations in contemporaneous palaeoclimatic conditions within the study area. We argue that although methodological challenges may contribute to this variation, the marked changes in topography result in contrasting late Quaternary palaeoenvironments. Such environments are characterised by similar contrasting microclimates and niche ecologies as are witnessed in the contemporary landscape. These spatial variations within a relatively small landlocked country are of importance in understanding broader southern African palaeoenvironmental change.