Climate changes preserved in sandstones are documented by comparing the sediment composition and early diagenetic changes in sandstones deposited during arid to semi-arid conditions, the Skagerrak Formation, with sandstones of the Gassum Formation deposited in a humid well-vegetated environment. The study area covers the easternmost part of the Norwegian–Danish Basin, for which the Fennoscandian Shield functioned as sediment source area. The depositional environments of the formations, their distribution and burial depths are well-constrained, facilitating a comprehensive petrographical and geochemical study complemented by porosity and permeability measurements of cores widely distributed in the basin (1700 to 5900 m burial depth). The Skagerrak Formation had an immature composition with more abundant feldspar, rock fragments and a larger variability in the heavy mineral assemblage when compared to the Gassum Formation, which was characterized by quartz and more stable heavy minerals. The arid to semi-arid climate led to early oxidizing conditions under which abundant iron-oxide/hydroxide coatings formed, while the evaporative processes occasionally resulted in caliche and gypsum precipitation. Under the humid climate, kaolinite precipitated due to leaching of feldspar and mica, and the abundant organic matter caused reducing conditions, which led to other Fe-rich phases, i.e. pyrite, Fe-chlorite and siderite. The inherited early diagenetic pore fluids and mineral assemblage also affect the mineral changes occurring during deeper burial, so dolomite preferentially formed in the sandstones deposited in an arid environment, while ankerite characterizes sandstones deposited under humid conditions. In addition to climate-induced burial diagenetic changes, there are also temperature-dependent phases, such as illite and quartz cement. Despite the same sediment source area remaining active during the entire period, the sediments that reached the Norwegian–Danish Basin were immature during the arid interval, although mature during the humid period. This has implications for provenance investigations as well as diagenetic investigations of sandstone reservoir quality.