Widespread changes to climate-sensitive systems are placing increased demands on risk assessments as a foundation for managing risk. Recent attention to compounding and cascading risks, deep uncertainty, and “bottom-up” risk assessment frameworks have foregrounded the need to account for systemic complexity in risk assessment methodology. We describe the sources of systemic complexity and highlight the role of risk assessments as a formal sense-making device that enables learning and organizing knowledge of the dynamic interplay between the climate-sensitive system and its (climatological) environment. We highlight boundary judgments as a core concern of risk assessments, helping to create islands of analytical and cognitive tractability in a complex, uncertain, and ambiguous world. We then point to three key concepts—boundary critique, multi-methodology, and second-order learning—as critical elements of contemporary risk assessment practice, and we weave these into an overarching framework to better account for systemic complexity in the assessment of climate risk.