Abstract The pattern and cause of upper‐water temperature (UWT) variations on millennial timescales in the Southern Ocean (SO) and the mechanism of their interaction with high‐latitude Northern Hemisphere climate remain unclear. Here, we reconstructed millennial‐scale subsurface temperature (subST) records from the Weddell Sea during the Last Glacial and Deglacial, combining them with subST and surface temperature records from the Antarctic and Subantarctic zones. UWTs in the SO underwent rapid changes that have covaried with Antarctic atmospheric temperatures since the Last Glacial. Rapid changes in SO UWTs were controlled by a shift of the Southern Hemisphere Westerlies through modulation of the strength of the upper‐ocean heat reservoir and upwelling of Circumpolar Deep Water. In addition to the Atlantic Meridional Overturning Circulation, the upper SO heat reservoir also played an important role in the ‘bipolar thermal seesaw.’ Our study highlights the significance of the SO in abrupt climate changes and their interhemispheric teleconnections.