We provide new high-resolution data on alkenone-derived sea surface temperature (SST) and calcareous plankton key taxa in temporally well constrained, high resolution benthic and planktonic oxygen isotope records at Integrated Ocean Drilling Program site U1387 in the Gulf of Cadiz. The investigated time interval encompasses the Early Pleistocene marine isotope stages (MIS) 48 to MIS 43. The aim is to evidence millennial climate variability during glacial phases of the “41 kyr world” and understand the impact of North Atlantic climate dynamics on the southern Portuguese margin. Neogloboquadrina pachyderma and Coccolithus pelagicus ssp. pelagicus record prominent, short-term abundance peaks concurrent with short-term SST minima and heavier values of ™18O in late MIS 48 and in the middle of MIS 46 and MIS 44. Superimposed on the obliquity and precession forcing, the wavelet analysis carried out on selected proxies (planktonic ™18O, N. pachyderma, C. pelagicus ssp. pelagicus, alkenone derived sea surface temperature) highlighted the occurrence of a higher frequency climate variability (<7 ky) mostly in glacial time windows and recalling the millennial-scale climate oscillations known from the Middle and Late Pleistocene. These brief colder episodes in the Gulf of Cadiz were contemporary to the weakening of the Atlantic Meridional Overturning Circulation, water column stratification, and Ice Rafted Detritus (IRD) events in the IRD belt as recorded in paleoenvironmental proxies from northern Atlantic reference sites, evidencing a southward shift of the subarctic front and European icesheet instability. At site U1387, they have been interpreted as terminal stadial (in late MIS 48) and stadial events (in MIS 46 and MIS 44) indicating that the millennial-scale variability during the early Pleistocene was strong enough to affect the mid-latitudes of the southern Portuguese margin.