We explore households coping and adaptation strategies to climate change and variability in Arid and Semi-Arid Lands (ASALs) using data collected from 500 households across Samburu District; Kenya. We hypothesised that as we move from wet to dry areas, households’ accumulate livestock wealth, structural and cognitive social capital as insurance against risks and shocks associated with climate change and variability. In testing the hypotheses, for robustness we used two approaches: simple regression and generalized linear model. Results from both approaches supported hypotheses that households accumulate livestock wealth and structural social capital as insurance against risks as we move from wet to dryer areas. Results from simple regression analysis showed that rain do not matter for cognitive social capital for all households as we move from wet to dryer areas. However, results from generalized linear model indicated that rain matters for cognitive social capital for the poor and financially integrated but not the rich households. The accumulation of cognitive social capital was therefore not generalizable but was rather contingent on household endowments. To improve households coping and adaptation abilities, it is therefore desirable to promote measures aimed at enhancing livestock wealth and structural social capital as form of insurance for household in Arid and Semi-Arid lands. The results also showed that measures aimed at enhancing cognitive social capital can help poor households as a social insurance safety net to cope and adapt to risks associated with climate change and variability.