We present a selection of methodologies for using the palaeo-climate model component of the Coupled Model Intercomparison Project (Phase 5) (CMIP5) to attempt to constrain future climate projections using the same models. The constraints arise from measures of skill in hindcasting palaeo-climate changes from the present over three periods: the Last Glacial Maximum (LGM) (21 000 yr before present, ka), the mid-Holocene (MH) (6 ka) and the Last Millennium (LM) (850–1850 CE). The skill measures may be used to validate robust patterns of climate change across scenarios or to distinguish between models that have differing outcomes in future scenarios. We find that the multi-model ensemble of palaeo-simulations is adequate for addressing at least some of these issues. For example, selected benchmarks for the LGM and MH are correlated to the rank of future projections of precipitation/temperature or sea ice extent to indicate that models that produce the best agreement with palaeo-climate information give demonstrably different future results than the rest of the models. We also explore cases where comparisons are strongly dependent on uncertain forcing time series or show important non-stationarity, making direct inferences for the future problematic. Overall, we demonstrate that there is a strong potential for the palaeo-climate simulations to help inform the future projections and urge all the modelling groups to complete this subset of the CMIP5 runs.