The success of many projects linked to the management and planning of water resources depends mainly on the quality of the climatic and hydrological data that is provided. Nevertheless, the missing data are frequently found in hydroclimatic variables due to measuring instrument failures, observation recording errors, meteorological extremes, and the challenges associated with accessing measurement areas. Hence, it is necessary to apply an appropriate fill of missing data before any analysis. This paper is intended to present the filling of missing data of monthly rainfall of 45 gauge stations located in southwestern Colombia. The series analyzed covers 34 years of observations between 1983 and 2016, available from the Instituto de Hidrología, Meteorología y Estudios Ambientales (IDEAM). The estimation of missing data was done using Non-linear Principal Component Analysis (NLPCA); a non-linear generalization of the standard Principal Component Analysis Method via an Artificial Neural Networks (ANN) approach. The best result was obtained using a network with a [45−44−45] architecture. The estimated mean squared error in the imputation of missing data was approximately 9.8 mm. month−1, showing that the NLPCA approach constitutes a powerful methodology in the imputation of missing rainfall data. The estimated rainfall dataset helps reduce uncertainty for further studies related to homogeneity analyses, conglomerates, trends, multivariate statistics and meteorological forecasts in regions with information deficits such as southwestern Colombia.