In sediments, clay minerals are mainly detrital. Formed by continental weathering, they are carried by surface transport predominantly by rivers, glaciers and, to a lesser extent, winds to the adjacent sedimentary basins and then are redistributed by oceanic currents. In a sedimentary core, the variability in the clay mineral assemblages reflects either variable physical and chemical weathering conditions in the watershed, typically with a significant link to climatic conditions, or changes in the mineral source, the latter being associated with various transport agents. When different sources are involved, a combination of mineralogical and geochemical proxies allows us to trace the detrital provenance, but they also indirectly provide valuable information on transport pathways and palaeocurrents. This manuscript reviews several examples from the literature and ongoing research on clay mineral variability in marine or lacustrine sedimentary records and interprets them in terms of: (1) climate control at different timescales, from the Neogene to the Quaternary; and (2) transport paths. Examples are selected to review the various clay-derived proxies in existence.