Provided herein is a unitary U-shaped cladding component that surrounds three sides of a deck-mounted skylight frame. In one embodiment, the frame includes a pair of longitudinal members, each of which has a locking mechanism (such as a bendable tab or rotatable latch) on its exterior side near one end. The locking mechanism engages a corresponding lock-receiving slot of the side panels of the cladding component. In another embodiment, the cladding component includes a locking mechanism (such as a bendable tab) on the exterior surface of each end. The locking mechanisms engage corresponding apertures in a head flashing member. Skylight including these cladding components are also provided, as are methods of installing such cladding components.