Climate change increasingly affects real estate markets because property assets are location-specific and directly exposed to environmental conditions. This study examines whether physical climate risks influence volatility in South African listed property markets. Using a GARCH–MIDAS framework, daily returns from five property indices are linked to monthly indicators of drought, extreme precipitation, and temperature extremes derived from the Actuarial Society of South Africa Climate Index. Results show that physical climate conditions contribute to persistent market volatility. Short-run volatility persistence is strong across all indices. Drought consistently increases long-run volatility, particularly in segmented indices, while broader indices show weaker effects. Temperature extremes exert the greatest influence, with minimum temperatures affecting most indices. Precipitation effects vary with flood exposure and infrastructure resilience, reducing volatility where rainfall alleviates drought stress and increasing it where flood risk dominates. These findings highlight the importance of incorporating physical climate risks into portfolio risk assessment, volatility forecasting, and long-term investment decisions in climate-exposed real estate markets.