Arid and semi-arid regions are the first to be affected by hydro-climatic changes. The Great Lakes Depression Basin in western Mongolia is the most notable example of such a region. Therefore, analyzing hydro-climatic changes in the Great Lakes Depression region is essential for future climate, hydrological, eco-hydrological processes, and ecosystem studies in similar areas and basins. In this study, Mann–Kendall (MK), innovative trend analysis method (ITAM), and Sen's slope estimator test (SSET) were used to determine the interrelationship between climate and river discharge changes and lake water level changes through statistical analysis. During the last 30 years, the air temperature has increased by 1.2 °C (Z = 1.16). Total annual precipitation decreased by 23.44 mm, resulting in 134.16 mm (Z = −0.79). The river discharge of the major rivers, such as Khovd River (Z = −3.51) and Zavkhan River (Z = −6.01), has significantly decreased. In Uvs (Z = 0.30) and Khyargas (Z = 2.03) lakes, the water level has also dropped. This study confirms that the increase in air temperature in the depression area of the Great Lakes reduces the amount of precipitation, and the decrease in precipitation affects the decrease in river discharge, which further affects the water level of the inflowing lakes.