Changes in the hydrological cycle have widespread consequences and remain uncertain under climate change. We analyse the changes in major water components of the hydrological cycle, that is, precipitation (P), runoff (Q), evapotranspiration (E), precipitation minus evapotranspiration (P − E), and terrestrial water storage (S), and quantify the uncertainties across the 21st century with Phase Six of the Coupled Model Intercomparison Project (CMIP6) simulations. The multimodel ensemble based on over 10 GCMs shows that P − E and Q share similar trends with P, with increases expected in northern high latitudes of Eurasia and North America, South Asia, and eastern Africa, and decreases expected in Central America, the Mediterranean, and the Amazon. The seasonal changes in S at mid and high latitudes are behind the large seasonal shifts in Q while changes in P − E are dominantly affected by P. The equatorial regions are expected to have the largest changes and intermodel variability. From low emission scenario SSP1‐2.6 to high emission scenario SSP5‐8.5, the spatial patterns for future changes remain consistent while more drastic and more widespread changes are expected globally over time with warming for all water components. Larger intermodel variability is also found under higher emission scenarios. The study provides a comprehensive perspective on the assessment of annual and seasonal changes in all water components within the hydrological cycle as well as the associated uncertainty with the latest CMIP6 simulations under three representative scenarios, providing the most updated climate information for formulating appropriate mitigation and adaptation.