Humans inhabit a remarkably diverse range of environments, and adaptation through natural selection has likely played a central role in the capacity to survive and thrive in extreme climates. Unlike numerous studies that used only population genetic data to search for evidence of selection, here we scan the human genome for selection signals by identifying the SNPs with the strongest correlations between allele frequencies and climate across 61 worldwide populations. We find a striking enrichment of genic and nonsynonymous SNPs relative to non-genic SNPs among those that are strongly correlated with these climate variables. Among the most extreme signals, several overlap with those from GWAS, including SNPs associated with pigmentation and autoimmune diseases. Further, we find an enrichment of strong signals in gene sets related to UV radiation, infection and immunity, and cancer. Our results imply that adaptations to climate shaped the spatial distribution of variation in humans.