Abstract Observations and model simulations reveal that El Niño generates stronger westerly anomalies than the easterlies induced by La Niña. Here we show that this asymmetry arises from the nonlinear sensitivity of atmospheric convection to total sea surface temperature (SST) in the tropical Pacific. Convection–SST sensitivity increases within 25.5–28.75°C, where small warm anomalies trigger disproportionately stronger convection anomalies, inducing intrinsic asymmetry in the atmospheric response to ENSO. Using observations, CMIP6 simulations, and Gill‐type atmospheric model experiments, we show that stronger convection–SST sensitivity enhances low‐level wind asymmetry. Gill‐type model sensitivity experiments further illustrate a monotonic increase in wind asymmetry with stronger convection–SST sensitivity prescribed therein. These results identify nonlinear convection–SST coupling as the bridge linking ENSO SST anomalies to asymmetric atmospheric responses, underscoring the importance of coupled models realistically capturing the observed convection–SST sensitivity for improved ENSO simulations..