ABSTRACT Climate change impact studies depend on projections of future climate provided by climate models. The number of climate models is large and increasing, yet limitations in computational capacity make it necessary to compromise the number of climate models that can be included in a climate change impact study. The selection of climate models is not straightforward and can be done by following different methods. Usually, the selection is either based on the entire range of changes in climatic variables as projected by the total ensemble of available climate models or on the skill of climate models to simulate past climate. The present study combines these approaches in a three‐step sequential climate model selection procedure: (1) initial selection of climate models based on the range of projected changes in climatic means, (2) refined selection based on the range of projected changes in climatic extremes and (3) final selection based on the climate model skill to simulate past climate. This procedure is illustrated for a study area covering the Indus, Ganges and Brahmaputra river basins. Subsequently, the changes in climate between 1971–2000 and 2071–2100 are analysed, showing that the future climate projections in this area are highly uncertain but that changes are imminent.