Climate change is emerging as an important threat to agriculture, food security and livelihoods. The impacts are likely to be more in rainfed agriculture. In this paper, we have examined the yield vulnerability of sorghum and pearl millet to climate change through panel data regression using the district level data for 1971-2004 and climate projections based on the regional climate model PRECIS. The yield was regressed on monthly rainfall and average temperature and the variability therein. Both levels and variability in monthly temperature affected crop yield significantly. Unlike many studies, this paper included variability in climate within a month as one of the regressors. The yield vulnerability is higher towards the period 2071-98 compared to 2021-50. The average yield impact is about 218 kg/ha for sorghum and 274 kg/ha for pearl millet. The analysis indicated no significant yield vulnerability for the mid-century period. However, the yield vulnerability showed considerable variability across districts. Efforts are therefore to be focused in the districts where steep yield reductions are projected. Further, technological change was found to neutralise considerable climate change impact underscoring the need to provide support to agricultural research in terms of resource allocation to agricultural research in general and climate change research in particular.