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Exposure to natural disasters in Afghanistan, notably flooding and other shocks exacerbated by climate change, poses a growing concern given the vulnerability of households to poverty and food insecurity. This paper uses two household surveys (2011/12 and 2013/14) to assess the effects of climate shocks (especially floods) on food security and welfare of agricultural households, allowing also for conflict and price shocks. We evaluate the impacts of shocks on several indicators of food security and household welfare comparing affected to non-affected households. The analysis is based on endogenous switching regressions (ESR) and propensity score matching (PSM) allowing for selection bias and addressing endogeneity. Floods are the main shock and have significant adverse effects on food security and welfare indicators. Affected households are likely to experience food diversity reduced from acceptable to moderate, increased food coping stress and two-thirds could be pushed from little to moderate or greater hunger. The estimated average treatment effect in 2013–14 implies a decrease of about a third in food consumption expenditures, with similar reductions in household income and farm revenue. The findings highlight the need for better disaster risk reduction and planning strategies to support affected populations to respond to and recover from climate shocks.