Previous research has studied the association between ethnoclimatological knowledge and decision-making in agriculture and pastoral activities but has paid scant attention to how ethnoclimatological knowledge might affect hunting and gathering, an important economic activity for many rural populations. The work presented here tests whether people who can forecast temperature and rain display higher hunting and gathering returns (measured as kilograms per hour for hunting and cash equivalent for gathering). Data were collected among three indigenous, small-scale, subsistence-based societies largely dependent on hunting and gathering for their livelihoods: the Tsimane’ (Amazonia, n = 107), the Baka (Congo basin, n = 164), and the Punan Tubu (Borneo, n = 103).The ability to forecast rainfall and temperature varied from one society to another, but the average consistency between people’s 1-day rainfall and temperature forecasts and instrumental measurements was low. This study found a statistically significant positive association between consistency in forecasting rain and the probability that a person engaged in hunting. Conversely, neither consistency in forecasting rain nor consistency in forecasting temperature were associated in a statistically significant way with actual returns to hunting or gathering activities. The authors discuss methodological limitations of the approach, suggesting improvements for future work. This study concludes that, other than methodological issues, the lack of strong associations might be partly explained by the fact that an important characteristic of local knowledge systems, including ethnoclimatological knowledge, is that they are widely socialized and shared.