This paper presents new multi-proxy records of the Holocene environmental and climatic changes in the Western Caucasus revealed from a continuous sediment sequence from mountainous Lake Khuko (Caucasus State Natural Biospheric Reserve, 1744 m a.s.l.). Palaeoecological analyses of a sediment core for grain size, magnetic susceptibility, loss on ignition, and pollen allowed us to determine five principal climatic phases with several subphases since 10.5 ka BP. The age model is based on seven accelerator mass spectrometry 14C dates, supplemented by 210Pb data for the uppermost part of the sediment core. Warm periods (10.5–6.7, 6.7–5.5, 3.5–2.4, 0.8–0.5 ka BP) were characterized by high biological productivity in the lake as indicated by high organic matter content and expansion of forests, typical of modern low and middle mountain zones, as indicated by the increase in abundance of Quercus, Ulmus, Corylus, and Tilia in the pollen assemblages. Cold periods (5.5–3.5, 2.4–0.8, and 0.5 ka BP–present) are marked by a consistent decrease in organic matter content in lake deposits and possibly higher intensity of the catchment erosion. The changes in pollen assemblages (for instance peaks of Abies, Picea, and Pinus) suggested a potential elevational decline in the boundaries of vegetation belts and expansion of high-altitude woodlands. Abrupt changes in the lake ecosystem were identified between 4.2 and 3.5 ka cal BP marked by a short-term variation in sediment regime shown by variation in organic matter content, magnetic susceptibility values, and sediment grain size. This was probably caused by climatic fluctuations in the Western Caucasus region as a result of complex shifts in the ocean-atmosphere system during the 4.2 ka event. Overall, the first Holocene multi-proxy continuous lake sediment record provides new insights into the climate history in the Western Caucasus.