Geochemical, mineralogical and biological indicators preserved in sediments are widely used to reconstruct past climate change, but proxies differ in the degree to which their utility as climate indicators has been validated via laboratory experiments, modern spatial calibrations, or down-core comparisons with instrumental climate data. Multi-proxy studies provide another means of evaluating interpretations of proxies. This paper presents a multi-proxy assessment comparing 19 sub-centennially resolved late Holocene proxy records, covering the period 300–1900 AD, from seven Icelandic marine and lacustrine core sites. We employ simple statistical comparisons between proxy reconstructions to evaluate their correlations over time and, ultimately, their utility as proxies for regional climate. Proxies examined include oxygen isotopic composition of benthic and planktonic foraminifera, abundance of the sea-ice biomarker IP25, allochthonous quartz in marine sediments (a proxy for drift ice around Iceland), marine carbonate abundance, total organic carbon concentration, chironomid assemblages, lacustrine biogenic silica and carbon/nitrogen ratios in lake sediments. Most of the examined proxy records, including temperature and sea-ice proxies, correlate strongly with each other over multi-centennial timescales, and thus do appear to record changes in regional climate. Copyright © 2011 John Wiley & Sons, Ltd.