This paper reviews the empirical evidence for a climate–fiscal–debt trap: a hypothesised feedback loop in which climate shocks worsen fiscal outcomes and sovereign risk, tighter financing conditions compress resilience and transition investment, and resulting underinvestment deepens future vulnerability and fiscal stress. Rather than treating the "trap" as a metaphor, we assess each link in the chain against a falsifiable standard of loop closure. The evidence is unevenly distributed. A substantial literature now supports the first two links: climate shocks and vulnerability can generate persistent fiscal scarring and raise sovereign distress risk, and sovereign borrowing costs respond to climate vulnerability, particularly in exposed developing economies, though estimates vary across instruments and horizons. The evidence weakens considerably on the later links. The claim that sovereign repricing compresses adaptation and mitigation investment remains more often asserted than empirically identified, and the proposition that investment shortfalls feed back into renewed fiscal deterioration and sovereign stress rests primarily on model-based and scenario-driven work rather than cross-country panel evidence. We also assess proposed loop-dampening instruments (including high-quality public investment, state-contingent debt design, and debt-for-climate operations) and find that while several are conceptually credible, robust ex post evaluation remains thin and highly design-dependent. The central research gap is therefore not the absence of relevant literature but the absence of integrated empirical designs that trace a common shock through the full sequence from climate exposure to fiscal scarring, sovereign repricing, investment compression, and renewed vulnerability. We conclude by specifying the identification challenges that must be resolved to move the climate–fiscal–debt trap from plausible working theory to established empirical regularity.