This chapter delves into the predictability of climate risk concerning energy prices, with a focus on crude oil, coal, and natural gas. We begin by defining climate risk and analyzing its characteristics. Next, we evaluate the predictive capacity of climate risk indices—the Climate Concern Index (CCI), Climate Physical Risk Index (CPRI), and Climate Policy Uncertainty Index (CPU)—on energy returns. Our analysis reveals that CCI and CPRI demonstrate significant in-sample predictability for coal futures returns, with only CPRI maintaining significant out-of-sample forecasting power. Furthermore, we explore the volatility predictability of climate risk in the energy market. Here, CCI and CPU show substantial in- and out-of-sample forecasting abilities for coal futures volatility. Overall, coal prices exhibit greater sensitivity to climate risk compared to crude oil and natural gas. The findings presented in this chapter offer valuable insights for managing climate risks, empowering the government, corporations, and investors to make more informed decisions.