Terrestrial and marine sediments preserved on the Indian sub-continent and in seas/oceans around it are excellent archives for studying and reconstructing past variations in monsoonal climate. Based on the multiproxy studies on the sediment cores, a coherent relationship between the intensities of the monsoon and glacial–interglacial conditions and a strong atmospheric teleconnection between the Asian and North Atlantic climates has been suggested. Terrestrial sediment cores clearly established that the variations in the monsoonal climate and/or change in glacial extant played an important role in varying weathering/erosion in source regions and relative supply of sediments. Marine sediment studies presented a more complicated picture because their depositions were influenced by changes in sea-levels, movement of shorelines, river mouths, deltas and sea surface-circulations. A composite climate record suggested that the intensity of Indian SW monsoon has weakened and NE monsoon strengthened during glacial periods and vice-versa during the interglacial periods.