Climate change compromises sustainable agricultural development. It has deep economic, environmental, and social impacts, particularly on vulnerable rural regions in developing countries where agriculture constitutes the backbone of the economy. This study analyzes farmers’ preferences regarding the potential implementation of several mitigation and adaptation actions addressing climate change. Data were collected on 370 farmers in the “Valle del Carrizo” region of northwestern México. Using the Analytical Hierarchy Process (AHP) methodology, the farmers’ preferred mitigation and adaptation actions were identified and related to their stated attitudes regarding risks using the Multiple Price List (MPL) lotteries approach. Farmers’ environmental beliefs and perceptions as key means of understanding concepts of sustainability were related to their preferences. The use of less polluting machinery and investment in improving irrigation infrastructure were identified as the most preferred actions. Environmental opinions reviewed using the New Ecological Paradigm (NEP) scale allowed for the identification of the participants’ ecocentric and anthropocentric attitudes, highlighting the commitment of most farmers to the sustainable use of natural resources. Agricultural policies should be developed according to farmers’ preferences and behaviors. The design and implementation of measures and policy tools addressing climate change should be inclusive and developed at the micro-level considering farm and farmer typologies.