Four weather generators, namely, R-package version of the Generalised Linear Model for daily Climate time series (RGLIMCLIM), Stochastic Climate Library (SCL), R-package multi-site precipitation generator (RGENERATRPREC) and R-package Multi-site Auto-regressive Weather GENerator (RMAWGEN), were used to generate multi-sites stochastic daily rainfall for a small catchment in Australia. The results show the following: (1) All four models produced reasonable results in terms of annual, monthly and daily rainfall occurrence and amount, as well as daily extreme, multi-day extremes and dry/wet spell length. However, they also simulated a large range of variability, which not only demonstrates the advantages of multiple weather generators rather than a single model but also is more suitable for climate change and variability impact studies. (2) Every model has its own advantages and disadvantages due to their different theories and principles. This enhances the benefits of using multiple models. (3) The models can be further calibrated/improved to have a “better” performance in comparison with observations. However, it was chosen not to do so in this case study for two reasons: to obtain a full range of climate variability and to acknowledge the uncertainties associated with observation data. The latter are interpolated from limited stations and therefore have high pairwise correlations—ranging from 0.69 to 0.99 with a median and mean value of 0.87 and 0.88, respectively, for daily rainfall. These conclusions were drawn from a case study in Australia, but could be extended to general guidelines of using weather generators for climate change and variability studies.