Africa is likely to experience warming and increased climate variability by the late 21st century. Climate extremes have been linked to adverse economic outcomes. Hence, adaptation is a key component of the United Nations Framework Convention on Climate Change agreements and development assistance. Effective climate adaptation policy requires an understanding of how temperature and rainfall variability affect migration patterns. Yet, how individuals in developing countries manage climate variation is poorly understood, especially in Africa. Combining high-resolution climate data with panel micro-data on migration, labor participation, and demographics, we employ regression analysis to assess temporary migration responses to local temperature and precipitation anomalies in four East African countries. We find that climate impacts are most pronounced in urban areas, with a standard deviation temperature increase and rainfall decrease leading to respective 10 and 12 percent declines in out-migration relative to mean values. Evidence from other labor market outcomes suggests that urban out-migration is not associated with reduced local employment opportunities. Instead, declines in urban out-migration appear to coincide with negative local climate employment impacts. These results challenge the narrative that temporary out-migration serves as a safety valve during climate extremes and that climate change will most strongly affect out-migration rates from rural areas in developing countries.