The mass extinction at the Cretaceous–Palaeogene boundary is widely attributed to sudden and severe climate changes forced by bolide impact and/or flood basalt volcanism. In terrestrial depositional settings, these changes may potentially be recorded by palaeosols. To test the ability of pedogenic features to record both long‐term climate and shorter‐term changes preceding and following the Cretaceous–Palaeogene extinction event, palaeosols in the Upper Cretaceous (Maastrichtian) Naashoibito Member of the Ojo Alamo Formation and the lower Palaeocene (Danian) Nacimiento Formation in the San Juan Basin of north‐western New Mexico, USA, were examined, including data from previous studies. The fine‐grained facies of the Naashoibito Member comprises grey to greenish‐grey and red‐banded mudstones displaying pedogenic features including colour mottling, root traces, cutans, ped fabrics, pedogenic slickensides and calcareous nodules. Aside from a high‐chroma horizon at the formation base, palaeosols in the lower Nacimiento Formation are broadly similar to those observed in the Naashoibito Member. Lateral and vertical variability of the pedogenic features between correlated sections suggest that soil hydrology varied spatially and temporally from very saturated to seasonally well‐drained, with temporal variations controlled by basin sedimentation rates. Abrupt and/or catastrophic climate events precisely at the Cretaceous–Palaeogene boundary are not recorded due to an unconformity at the top of the Naashoibito Member. However, the presence of kaolinite in the clay mineral assemblage of the Nacimiento Formation, particularly near the formation base, but not in the Naashoibito Member, indicates episodic warmth and short (104 years) intervals of more intense weathering conditions during the very early Danian as compared to the late Maastrichtian. Aside from short warm intervals, the overall palaeoclimate during deposition of both formations was warm and consistently subhumid to humid and seasonal, suggesting no substantial long‐term (105–106) climate change took place across the Cretaceous–Palaeogene boundary in the San Juan Basin.