Social capital predicts many positive health outcomes, including food and water access and sufficiency. Hence, increasing social capital has emerged as one potential strategy to improve food and water security. In this study, we investigate whether social capital generated through participation in a community-based microlending programme based in semi-rural Kenya is associated with water and food insecurity, and explore the interconnectedness of water and food insecurity through mediation analysis. Randomly-selected women participants of the community-based programme (n = 400) were interviewed in June 2018 and again in June 2019. Survey measures included water insecurity, food insecurity and an index of social capital constructs, namely group cohesion, trust, expectations of mutual support, sense of belonging and frequency of attendance in the programme. Random effects linear regression showed that an increase the social capital index was associated with lower water and food insecurity. The mediation analysis indicated that the association between social capital and food insecurity was completely mediated by water insecurity. This study demonstrates the need for further investigation into how social capital-generating programmes can contribute to systems approaches for collaborative food and water security programmes, especially among rural communities in low- and middle-income countries.