We perform a mathematical and statistical analysis of the Wasserstein least squares problem, a regression method for vector-valued covariates and distribution-valued responses. Our proposal contrasts with other distributional regression methods by having a direct interpretation in terms of random variables, as a nonparametric analogue of the classic random-effects model. On the mathematical side, we use a strategy of Lavenant (2024) to show that Wasserstein least squares is the canonical extension of Euclidean least squares to the space of probability distributions from the perspective of convex analysis; this viewpoint gives rise to multimarginal and dual formulations of the Wasserstein least squares problem, extending a similar theory for Wasserstein barycenters. We perform a statistical analysis of the Wasserstein least squares problem under the template deformation model, showing, surprisingly, that estimation is possible at the n^{-1/2} rate. As a special case, we obtain improved rates of estimation for Wasserstein barycenters, which are an exponential improvement over those established by Ahidar-Coutrix, Le Gouic and Paris (2020). Finally, we propose a heuristic particle method for Wasserstein least squares and use it to conduct a novel analysis of large-scale demographic data from the RAND Health and Retirement Study.