This article aims to provide a broad overview of the topic across spatial scales ranging from small catchments to a global perspective. The two elements of the topic (i.e. sediment yields and sediment budgets) are closely related, with the former treating the catchment or river basin essentially as a black box. The latter looks into the black box to consider the importance of sediment sources, and sediment mobilization, transport, and storage in influencing sediment yields. Attention is directed firstly to the key features of sediment yields, by considering fluvial sediment loads, measurement techniques, the magnitude of sediment yields, and associated global and regional patterns and key controlling factors. Information on spatial variability of sediment yields is complemented by consideration of medium‐ and longer‐term temporal variability in response to natural factors and, more importantly, the impact of anthropogenic activity and climate change. Sediment budgets are introduced by considering the important role of internal storage in influencing the sediment yield from a catchment or river basin and the concepts of the sediment delivery ratio and connectivity, as well the need to take account of the sediment sources involved. Examples of sediment budgets are provided and available techniques for assembling the information necessary to establish a sediment budget are reviewed.