The Caspian Sea level (CSL) has undergone variations of more than 3 m during the past century with important implications for the life of coastal people, economy and the ecosystem. The origin of these variations as well as future changes in the Caspian water budget are still a matter of debate. Here, the major modes of North Atlantic winter climate variability and atmospheric teleconnections that have a potential effect on the hydroclimate of the Caspian catchment region are examined. The skill of the Community Earth System Model (CESM1.2.2) regarding the simulation of the modern climatology in the Caspian region and the major North Atlantic modes are analysed using different atmospheric grid resolutions and setups of the atmospheric component, the Community Atmosphere Model (CAM4 and CAM5). CESM1.2.2 with CAM5 atmosphere physics and 1° atmospheric grid resolution shows reasonable skill in simulating the regional Caspian basin climatology and the winter North Atlantic Oscillation (NAO). Using this model version, a weakly positive (r = .2) statistically significant (p < .05) correlation between the catchment winter water budget (precipitation minus evaporation, P‐E, integrated over the catchment area) and the NAO is found for the historical period 1850–2000. Climate projections of the 21st century under the Representative Concentration Pathways RCP4.5 and RCP8.5 show that the NAO remains the leading mode of winter variability with a dominant influence on the climate in the Caspian catchment region. Under the RCP4.5 scenario the correlation between the winter NAO and winter P‐E over the Caspian catchment region increases (r = .5, p < .05). For RCP8.5, however, this correlation disappears due to a north–south dipole pattern with a positive P‐E anomaly over the northern and a negative anomaly over the southern parts of the Caspian catchment region, cancelling out an effect on the total Caspian water budget. Nevertheless, due to increasing annual evaporation over the Caspian Sea in the warming climate, the model predicts an additional CSL decrease of about 9 and 18 m between 2020 and 2100 for the RCP4.5 and RCP8.5 scenarios, respectively. Even though the model tends to overestimate the total evaporation due to a too large Caspian Sea surface area, these values are larger than previous projections of CSL decline.