Surface gravity waves generated by winds are ubiquitous on our oceans and play a primordial role in the dynamics of the ocean–land–atmosphere interfaces. In particular, wind-generated waves cause fluctuations of the sea level at the coast over timescales from a few seconds (individual wave runup) to a few hours (wave-induced setup). These wave-induced processes are of major importance for coastal management as they add up to tides and atmospheric surges during storm events and enhance coastal flooding and erosion. Changes in the atmospheric circulation associated with natural climate cycles or caused by increasing greenhouse gas emissions affect the wave conditions worldwide, which may drive significant changes in the wave-induced coastal hydrodynamics. Since sea-level rise represents a major challenge for sustainable coastal management, particularly in low-lying coastal areas and/or along densely urbanized coastlines, understanding the contribution of wind-generated waves to the long-term budget of coastal sea-level changes is therefore of major importance. In this review, we describe the physical processes by which sea states may affect coastal sea level at several timescales, we present the methods currently used to estimate the wave contribution to coastal sea-level changes, we describe past and future wave climate variability, we discuss the contribution of wave to coastal sea-level changes, and we discuss the limitations and perspectives of this research field.