Scenario analysis is a useful tool to facilitate discussions about the main trends of future change and to promote the understanding of global environmental changes implications on relevant aspects of sustainability. In this paper, we reviewed 294 articles published between 1995–2019, to evaluate the state of the art use of models and scenarios to investigate the effects of land use change and climate change on natural and social-ecological systems. Our review focuses on three issues. The first explores the extent to which the environmental dynamics of land use and climate change were jointly analyzed and the spatial scales associated with such integrated studies. The second explores the modelling methodologies and approaches used in the scenario analysis. The third explores the methods for developing or building scenarios. Results show that in most predictions there is little integration of key drivers of change. We find most forecasting studies use a sectoral modelling approach through dynamic spatially distributed models. Most articles do not apply a participatory approach in the development of scenarios. Based on this review, we conclude that there are some gaps in how scenario analysis on natural and social-ecological systems are conducted. These gaps pose a challenge for the use of models and scenarios as predictive tools in decision-making processes in the context of global change.