Examining the conceptual relationship between personal experience, affect, and risk perception is crucial in improving our understanding of how emotional and cognitive process mechanisms shape public perceptions of climate change. This study is the first to investigate the interrelated nature of these variables by contrasting three prominent social-psychological theories. In the first model, affect is viewed as a fast and associative information processing heuristic that guides perceptions of risk. In the second model, affect is seen as flowing from cognitive appraisals (i.e., affect is thought of as a post-cognitive process). Lastly, a third, dual-process model is advanced that integrates aspects from both theoretical perspectives. Four structural equation models were tested on a national sample (N = 808) of British respondents. Results initially provide support for the “cognitive” model, where personal experience with extreme weather is best conceptualized as a predictor of climate change risk perception and, in turn, risk perception a predictor of affect. Yet, closer examination strongly indicates that at the same time, risk perception and affect reciprocally influence each other in a stable feedback system. It is therefore concluded that both theoretical claims are valid and that a dual-process perspective provides a superior fit to the data. Implications for theory and risk communication are discussed. © 2014 The Authors. European Journal of Social Psychology published by John Wiley & Sons, Ltd.