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Clay minerals are useful tools for reconstructing palaeoclimatic history. The clay mineral composition and total organic carbon (TOC) of the Pliocene Productive Series from the western South Caspian Basin was used to reconstruct palaeoclimate on the adjacent land, which still remains a data-poor area. Variations of the smectite and illite contents in the Lower Division of the Productive Series suggest that two different climatic conditions alternated on the Russian Platform. High amount of illite combined with low amount of smectite and low amount of TOC indicate arid climatic condition. In contrast, high amount of smectite and TOC with low amount of illite suggest humid climatic condition on the Russian Platform. The Upper Division of the Productive Series in the Absheron Peninsula is characterized by high amount of illite, which indicates arid climatic conditions. Similarly, variable smectite and illite contents in the Upper Division of the Productive Series in the South Absheron Offshore Zone imply a climate alternating between aridity and humidity in the Greater Caucasus. This investigation contributes to the knowledge of the Pliocene at the boundary between Europe and Asia, in a continental setting and at a key period of climatic changes, such as the mid-Pliocene warm period and the beginning of the Northern Hemisphere glacial-interglacial cycles.