Lipids are one of the major components of biological membranes including the plasma membrane, which is the interface between the cell and the environment. It has become clear that membrane lipids also serve as substrates for the generation of numerous signalling lipids such as phosphatidic acid, phosphoinositides, sphingolipids, lysophospholipids, oxylipins, N-acylethanolamines, free fatty acids and others. The enzymatic production and metabolism of these signalling molecules are tightly regulated and can rapidly be activated upon abiotic stress signals. Abiotic stress like water deficit and temperature stress triggers lipid-dependent signalling cascades, which control the expression of gene clusters and activate plant adaptation processes. Signalling lipids are able to recruit protein targets transiently to the membrane and thus affect conformation and activity of intracellular proteins and metabolites. In plants, knowledge is still scarce of lipid signalling targets and their physiological consequences. This review focuses on the generation of signalling lipids and their involvement in response to abiotic stress. We describe lipid-binding proteins in the context of changing environmental conditions and compare different approaches to determine lipid-protein interactions, crucial for deciphering the signalling cascades.