Climate is changing and mitigation of the corresponding impacts requires assessment of vulnerability and adaptation building. This issue is particularly important in Middle East and North Africa (MENA), which is recognized as one of the most water scarce regions of the world and vulnerable to climate change. Therefore, the objective of this study was an assessment of the different sectors’ vulnerability as well as the overall vulnerability of the MENA countries to climate change. The Notre Dame-Global Adaptation Index (ND-GAIN) was used to investigate climate change vulnerability. Cluster analysis revealed the very high, high, medium and low levels of vulnerability for the MENA countries by distinguishing their extent of exposure, sensitivity and adaptive capacity. Further results indicated that the MENA countries have an acceptable status of infrastructure and habitat, tolerable health and ecosystem statuses, and inappropriate water and food conditions. Water shortage is also a serious problem in this region, to the extent that it is often assumed that water shortage is the root cause of all other types of vulnerability in MENA. However, the obtained results do not support this assumption. These findings provide insight about the adaptation challenges that should be faced and the choices that should be made in response to climate change, in MENA.