Avian species endemic to desert grasslands of North America contend with significant ecological challenges, including monsoonal rains, droughts, and variable temperatures. These birds have evolved physiological and behavioral means of coping with such extremes, but ongoing changes to temperature and precipitation patterns are affecting their breeding phenology, reproductive success, and population growth rates. We examined how seasonal and daily weather conditions and habitat structure were associated with the nest survival of Arizona Grasshopper Sparrows (Ammodramus savannarum ammolegus) in the semidesert and plains grasslands of southeastern Arizona, USA. The mean ± SE daily survival rate (DSR) of nests was 0.960 ± 0.006, corresponding to overall nest success of 46%. The previous season's precipitation, large rain events, and nest concealment were the most important factors explaining DSR. Grasshopper Sparrow nest survival decreased with a wetter previous growing season and with large rain events on previous days. Nests that were more concealed had lower survival rates. There was some evidence that nest survival was lower later in the nesting season. In addition, when nest concealment was included in models, there were positive but weak associations between other vegetation variables and DSR—nests with higher visual obstruction at the nest and nest plot scales, and nests that were farther from shrubs >2 m tall, showed higher survival rates. Predation was the major cause of nest failure, suggesting complex interactions among predation, precipitation, and nest concealment. Further, our findings suggest tradeoffs in the potential effects of future climate change on A. s. ammolegus. The increased frequency of extreme storm events predicted for the region may result in reduced nest survival of A. s. ammolegus, but, conversely, lower seasonal precipitation prior to nesting may positively influence nest survival.