The association between climatic indices which are calculated on a monthly basis, including the El Niño Southern Oscillation (ENSO), and monthly rainfall and temperature in the Murray Darling Basin during the period 1960 to 2009 is investigated. The indices considered are El Niño 1+2, Niño 3, Niño 4, and Niño 3.4, Dipole Mode Index (DMI), North and Southern Atlantic Oscillation, Global tropics, Southern Annular Mode (SAM), Southern Oscillation Index (SOI), and Pacific Decadal Oscillation (PDO). A regression model with periodic functions is used to allow for seasonal variation, and the residuals are examined for evidence of non-stationarity over the study period. Generalized least squares is used to allow for the effect of autocorrelation when estimating the standard error of the regression parameters. Any estimated trend is removed from the residuals, which are then analyzed as a multivariate time series to highlight the dependence structure between indices. Correlograms suggested that the residuals of fitted ARMA (3,0,3) have significantly small autocorrelations, which is consistent with a realizations of white noise and cross-correlograms functions verify multivariate time series that cross correlogram of white noise approximately zero for all none zero lag by pre whitening method, which appears to be stationary process. A factor analysis model is also fitted, and possible interpretations of latent factors will be suggested. Keywords: cross-correlogram, ENSO, generalized least squares.