Environmental, economic and social shocks and stresses adversely affect rain-fed agricultural production, household’s food security and coping strategies. Successive years of droughts, floods, economic deterioration and social shocks increase the vulnerability of marginalised farming households. These challenges cause farming households to adopt negative coping strategies that leave them exposed to future shocks and stresses. To address the increased vulnerability to shocks and stresses, the Zimbabwe Resilience Building Fund (ZRBF) programme used the resilience approach, which focuses on building a farming household’s adaptive, absorptive and transformative capacities. The study was an opportunity to test the efficacy of this new innovative development intervention used by the ZRBF. And the results are very important to inform further refinement of the approach and food security policies. This chapter investigates how components of adaptive capacity affect household’s food security. The study used an ordinary least squares (OLS) regression approach to investigate the relationship between components of adaptive capacity and project specific interventions on a household’s Coping Strategy Index (CSI). The OLS model was chosen as it explicitly explains how the components of adaptive capacity behaved across the three Outcome Monitoring Surveys (OMS) in response to socioeconomic challenges, COVID-19 lockdown and a meteorological drought. The study is based on data extracted from the Zimbabwe Resilience Building Fund Programme’s Outcome Monitoring Surveys (OMS1, OMS2, OMS3) for Binga, Kariba and Mbire districts under the Zambezi Valley Alliance. Study findings from the OLS regression for OMS1 showed that goat improvement (p < 5%) and bridging social capital (p < 5%) have a negative and statistically significant relationship with CSI. In OMS2, study findings showed that only access to financial services (p < 10%) had a negative and statistically marginally significant relationship with CSI. In OMS3, OLS regression results showed that productive assets (p < 1%), human capital (p < 5%), exposure to information (p < 5%), linking capital (p < 10%) and livestock assets (p < 10%) have a negative and statistically significant relationship with CSI. This study concludes that the relationship between a component of adaptive capacity and CSI is conditional to the type of shock that a household is exposed to. For instance, during social stress (OMS2), such as COVID-19, where it is difficult to conduct business and travel across districts, access to financial resources is key to enhancing adaptation to climate change. The research recommends that to improve farming households’ adaptation to climate change, there is a deliberate need for efforts to promote an integrated livestock asset accumulation model. This model can ride on key interventions and be layered with the goat improvement intervention. These include exposure to information about small livestock, linkage of farming households to local stakeholders, developing human capital through livestock information centres and linkages to financial services institutions.