Crop–livestock value chain approaches have been introduced in most developing countries as an important strategy not only to help reinforce farmers’ resilience-building capacity against negative effect of climate change, but also addressed micronutrient deficiency, malnutrition, and poverty. However, little is relatively known how crop–livestock value chain development enhances farmers’ resilience-building capacity. The objective of this study is to determine the optimal crop–livestock chain value diversification on farmers’ climate change resilience capacity. The balanced complete block design was used to collect data from 430 farmers, while the best-worst scaling consistent with random utility theory was employed to analyze data. Results indicate that regardless of farmers’ socioeconomic characteristics, millet, cowpea, sorghum, rice, onion, groundnut, red meat, potato, milk and milk products, and white meat are the most important crop–livestock value chain for farmers. Results also show that crop-based value chain development would be more welfare enhancing than animal-based value chain development. Results also suggest that cereal crop-based value chains are more welfare enhancing than leguminous crop-based value chains. Results from this study are important to develop sustainable value chain development, to improve farmers’ revenue and enhance their welfare in the study area and beyond.