The 2021 State of the Climate in Africa report catalogues evidence of how climate change impacts are threatening human health, socio-economic security, and food and water security across Africa. Addressing this threat requires, among other things, current and accurate data to inform climate action and adaptation efforts. To date, climate change research in Africa has largely focused on the physical and socio-economic impacts, whilst neglecting the psychological aspects of climate change. Yet, climate change does not only devastate the landscape and physical infrastructure. It also affects people psychologically through injury, mortality, loss of livelihoods, and other social and economic disruptions. Further, through phenomena like 'eco-anxiety', climate change can undermine wellbeing and mental health even before people are directly exposed to physical impacts. In this study we investigated lived experiences of climate risk exposures and emotional responses using interviews with residents in five anglophone West African cities (Banjul, Freetown, Monrovia, Accra, and Lagos; N = 50). The study was co-developed with and led by partner organisations based in the focus countries. Reflexive thematic analysis of participants' responses revealed the sensemaking pathways that link emotional distress with climate risk exposures (particularly flooding and heatwaves), as well as the coping responses enacted to limit the effects of these exposures. This study has implications for climate resilience in West Africa which is one of the fastest urbanising regions of the world.