This study investigates the impact of climate risk on informal entrepreneurship in emerging economies. Drawing on a sample of 6,317 new ventures operating in 38 emerging countries in the 2012-2013 period, we find that climate risk discourages informal entrepreneurship and this effect is stronger for entrepreneurs who fear failure but does not vary with their level of self-efficacy. Our study extends the consequences of climate risk to informal entrepreneurship and enriches our knowledge of the antecedents of informal entrepreneurship. Moreover, by contextualizing the implication of climate risk for informal entrepreneurship in emerging markets, we contribute to illuminating a more fine-grained analysis of climate risk and entrepreneurship.