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Despite increased incidence and severity of climate shocks associated with climate change, observed levels of adaptation remain low. To assess if individuals adapt to the heat-induced crop losses of neighboring households in rural, agriculturally reliant communities, we integrate panel socioeconomic and demographic data from rural Mexico with high temporal and spatial resolution weather data. We find evidence of (ex ante) domestic migration that is plausibly an anticipatory response to the perception of increased risks of future heat-induced crop losses. This study highlights the salience of anticipatory adaptation and the relevance of learning from others in the context of climate risk.