Understanding how smallholder farmers perceive and respond to climate change is critical for informing adaptation strategies. Using survey data from 261 smallholder dairy farmers in Eritrea, this study applies the Model of Private Proactive Adaptation to Climate Change (MPPACC) to examine the perception of climate change. The objectives were to (i) develop and validate indices of perception, threat appraisal, and coping appraisal, (ii) explore factors associated with these indices, and (iii) examine associations among perception, threat appraisal, and coping appraisal. Reliability of constructs was assessed using Cronbach’s α, while validity was evaluated through principal axis factoring. A regression-based parallel mediation model with 5000 bootstrapped resamples was employed to estimate confidence intervals for the indirect effects. Results show that 93% of respondents linked climate change to shifting seasons, 76% to erratic rainfall, 88% to rising temperatures, and 41.6% identified greenhouse gas emissions as a cause. Perception scores were directly associated with extension services, education, and media exposure, and were negatively associated with higher altitude. The mediation analysis further showed indirect associations, with threat appraisal, though not coping appraisal, acting as an intervening variable in the relationships involving media exposure, heat stress and the interaction between age and farming experience. These findings highlight how institutional support, education, and communication efforts are associated with farmers’ climate change perception. By integrating socio-economic and environmental factors with cognitive processes within the MPPACC framework, this study offers insights relevant to strengthening smallholder resilience in Eritrea and comparable contexts.