The Australian decade-long “Millennium Drought” broke in the summer of 2010/11 and was considered the most severe drought since instrumental records began in the 1900s. A crucial question is whether climate change played a role in inducing the rainfall deficit. The climate modes in question include the Indian Ocean dipole (IOD), affecting southern Australia in winter and spring; the southern annular mode (SAM) with an opposing influence on southern Australia in winter to that in spring; and El Niño–Southern Oscillation, affecting northern and eastern Australia in most seasons and southeastern Australia in spring through its coherence with the IOD. Furthermore, the poleward edge of the Southern Hemisphere Hadley cell, which indicates the position of the subtropical dry zone, has possible implications for recent rainfall declines in autumn. Using observations and simulations from phase 5 of the Coupled Model Intercomparison Project (CMIP5), it is shown that the drought over southwest Western Australia is partly attributable to a long-term upward SAM trend, which contributed to half of the winter rainfall reduction in this region. For southeast Australia, models simulate weak trends in the pertinent climate modes. In particular, they severely underestimate the observed poleward expansion of the subtropical dry zone and associated impacts. Thus, although climate models generally suggest that Australia’s Millennium Drought was mostly due to multidecadal variability, some late-twentieth-century changes in climate modes that influence regional rainfall are partially attributable to anthropogenic greenhouse warming.