Dengue fever has been endemic in Paraguay since 2009 and is a major cause of public-health-management-related burdens. However, Paraguay still lacks information on the association between climate factors and dengue fever. We aimed to investigate the association between climatic factors and dengue fever in Asuncion. Cumulative dengue cases from January 2014 to December 2020 were extracted weekly, and new cases and incidence rates of dengue fever were calculated. Climate factor data were aggregated weekly, associations between dengue cases and climate factors were analyzed, and variables were selected to construct our model. A generalized additive model was used, and the best model was selected based on Akaike information criteria. Piecewise regression analyses were performed for non-linear climate factors. Wind and relative humidity were negatively associated with dengue cases, and minimum temperature was positively associated with dengue cases when the temperature was less than 21.3 °C and negatively associated with dengue when greater than 21.3 °C. Additional studies on dengue fever in Asuncion and other cities are needed to better understand dengue fever.