The Lancang–Mekong River (LMR) is an important transboundary river that originates from the Qinghai–Tibet Plateau, China and flows through six nations before draining into the South China Sea. Knowledge about the past and future changes in climate and water for this basin is critical in order to support regional sustainable development. This paper presents a comprehensive review of the scientific progress that has been made in understanding the changing climate and water systems, and discusses outstanding challenges and future research opportunities. The existing literature suggests that: ① The warming rate in the Lancang–Mekong River Basin (LMRB) is higher than the mean global warming rate, and it is higher in its upper portion, the Lancang River Basin (LRB), than in its lower portion, the Mekong River Basin (MRB); ② historical precipitation has increased over the LMRB, particularly from 1981 to 2010, as the wet season became wetter in the entire basin, while the dry season became wetter in the LRB but drier in the MRB; ③ in the past, streamflow increased in the LRB but slightly decreased in the MRB, and increases in streamflow are projected for the future in the LMRB; and ④ historical streamflow increased in the dry season but decreased in the wet season from 1960 to 2010, while a slight increase is projected during the wet season. Four research directions are identified as follows: ① investigation of the impacts of dams on river flow and local communities; ② implementation of a novel water–energy–food–ecology (WEFE) nexus; ③ integration of groundwater and human health management with water resource assessment and management; and ④ strengthening of transboundary collaboration in order to address sustainable development goals (SDGs).