<p>Climate-related risks have become increasingly important in financial and commodity markets because of their implications for asset pricing, portfolio stability, and the global transition toward a low-carbon economy. Despite the growing strategic importance of precious metals in renewable energy technologies and sustainable investment, limited evidence exists on how different dimensions of climate risk affect these metals across market conditions. Using newly developed disaggregated climate risk indicators, this study investigates the effects of physical and transition climate risks on the returns of gold, silver, platinum, and palladium. The findings reveal strong nonlinear and state-dependent relationships. In bearish markets, lower transition risks are associated with higher returns for all metals due to reduced regulatory uncertainty and improved investor sentiment. In contrast, during bullish markets, platinum and palladium respond positively to transition risks because of their industrial relevance in clean energy technologies, whereas gold and silver preserve their traditional safe-haven roles. Physical climate risks exhibit a predominantly positive relationship with metal returns across most quantiles, reinforcing the defensive and resilient nature of precious metals during periods of heightened uncertainty. The findings further show that climate risks affect metal markets through heterogeneous transmission channels that vary across market states and metal characteristics. Overall, the study highlights the growing dual role of metals as both critical industrial inputs for the green transition and defensive financial assets, while offering practical implications for climate-resilient portfolio management, climate-related financial regulation, and resilient supply-chain development.</p>