The demand for Colorado River water is increasing due to the combined effects of climate change, increasing aridity, population, and economic growth. Colorado's West Slope headwaters provide nearly 70% of the inflows to Lake Powell in a typical year. Climate change poses a substantial and deeply uncertain driver of potentially severe reductions in water availability in these basins due to high temperatures and increasingly severe droughts. Multi-sectoral water demands from urban water supplies, agriculture, energy systems, and environmental flows exacerbate the water shortage vulnerabilities throughout the West Slop basins with reductions in water availability. This study contributes an exploratory modeling framework to diagnose the relative dominance of different deeply uncertain human or natural drivers of water shortages. Through carefully designed computational experiments, we explore the internal variability of the hydroclimatic system, climate change effects on streamflow, and changes in demands (municipal, industrial, agricultural, and transbasin transfers). We use a multi-site Hidden Markov Model (HMM) to generate an ensemble of streamflows in the West Slope basins encompassing a broad range of plausible mid-century climate changes relative to a 1970-2000 baseline. The climate changes capture a broad range of conditions from persistently hotter, drier scenarios to those that are on average wetter. Our large exploratory ensemble combines the stochastic streamflow scenarios with globally sampled changes in demands. We then simulate the resulting water shortages across the systems' diverse users using the StateMod (Colorado’s water allocation model). Our diagnostic sensitivity analyses distinguish the key controls of water shortages and their consequential impacts across each West Slope basin, for individual users for water supply, and key environmental flows. Our results show the worsening of consumptive use shortages across West Slope basins compared to the historical baseline. This exploratory diagnostic analysis has direct decision relevance for understanding the relative importance of different uncertainties across scales (e.g., Lake Powell regional inflows), sectors, and diverse individual users.