Hindu Kush Himalaya (HKH) is highly vulnerable to climate change, but there is the least understanding of the impacts of climate change. This study explored local climate change risk perceptions, vulnerability, and adaptive responses in the three HKH countries, Pakistan, Nepal, and Bhutan. For this purpose, 379 farm households from low, medium, and high elevations in the study districts of Rasuwa in Nepal, Gilgit in Pakistan and the Central District in Bhutan were surveyed. A semi-structured digital survey was used for data collection. Further, the study used the IPCC climate vulnerability framework to explore the farm-level vulnerability to climate change in three HKH countries. The study revealed that farmers in the study areas strongly agreed that the climate was changing in the region with high summer temperatures and increasing frequency and intensity of weather-related extreme events. Increasing poverty and limited institutional services make farmers more vulnerable to climate risks. Farmers reported reduced agricultural productivity and decreased revenue caused by climate change. Crop yields at high altitudes were slightly higher, but only because of multiple cropping triggered by weather patterns. Lack of information, resources, and institutional support significantly hamper the farmers’ adaptive capacity. A small fraction of the farmers adopted improved crop varieties and land management. The study recommends improving outreach and institutional services, especially climate-specific farm advisory services in HKH countries.