Multidecadal hydroclimate variability has been expressed as “megadroughts” (dry periods more severe and prolonged than observed over the twentieth century) and corresponding “megapluvial” wet periods in many regions around the world. The risk of such events is strongly affected by modes of coupled atmosphere–ocean variability and by external impacts on climate. Accurately assessing the mechanisms for these interactions is difficult, since it requires large ensembles of millennial simulations as well as long proxy time series. Here, the Community Earth System Model (CESM) Last Millennium Ensemble is used to examine statistical associations among megaevents, coupled climate modes, and forcing from major volcanic eruptions. El Niño–Southern Oscillation (ENSO) strongly affects hydroclimate extremes: larger ENSO amplitude reduces megadrought risk and persistence in the southwestern United States, the Sahel, monsoon Asia, and Australia, with corresponding increases in Mexico and the Amazon. The Atlantic multidecadal oscillation (AMO) also alters megadrought risk, primarily in the Caribbean and the Amazon. Volcanic influences are felt primarily through enhancing AMO amplitude, as well as alterations in the structure of both ENSO and AMO teleconnections, which lead to differing manifestations of megadrought. These results indicate that characterizing hydroclimate variability requires an improved understanding of both volcanic climate impacts and variations in ENSO/AMO teleconnections.