Climate change and variability pose a challenge to the livelihoods of smallholder farmers. Previous studies on climate change in the context of smallholder farming have mainly focused on the influence of socio-economic factors in understanding farmers’ responses to climate change. However, little is known about the effect of psychological capital on climate change adaptation. There are calls for better empirical models and transdisciplinary approaches to understand the underlying drivers of climate change adaptation in smallholder farming systems. This study draws from behavioural decision research to assess psychological factors influencing climate change adaptation in the uMkhanyakude district of KwaZulu-Natal. This study adopted the Theory of Planned Behaviour to understand the effect of psychological capital on climate change adaptation. Data were collected from a sample of 400 smallholder farmers who were randomly selected from the uMkhanyakude district. Survey data were analysed using a multivariate probit regression model. The results of the multivariate probit regression model indicated that psychological capital (attitudes towards climate change, subjective norms, and trust) played an important role in influencing climate change adaptation. Climate change adaptation is also influenced by the gender of the farmer, education level, household size, and Tropical Livestock Units. These findings underscore the role of psychological capital in shaping climate change adaptation. This study recommends using transdisciplinary approaches (i.e., combining economics and psychology) in evaluating farmers’ responses to climate change.