Several paleoclimate records such as from Chinese loess, speleothems or upwelling indicators in marine sediments present large variations of the Asian monsoon system during the last glaciation. Here, we present a new record from the northern Andaman Sea (core MD77-176) which shows the variations of the hydrological cycle of the Bay of Bengal. The high-resolution record of surface water delta O-18 dominantly reflects salinity changes and displays large millennial-scale oscillations over the period 40 000 to 11 000 yr BP. Their timing and sequence suggests that events of high (resp. low) salinity in the Bay of Bengal, i.e. weak (resp. strong) Indian monsoon, correspond to cold (resp. warm) events in the North Atlantic and Arctic, as documented by the Greenland ice core record. We use the IPSL_CM4 Atmosphere-Ocean coupled General Circulation Model to study the processes that could explain the teleconnection between the Indian monsoon and the North Atlantic climate. We first analyse a numerical experiment in which such a rapid event in the North Atlantic is obtained under glacial conditions by increasing the freshwater flux in the North Atlantic, which results in a reduction of the intensity of the Atlantic meridional overturning circulation. This freshwater hosing results in a weakening of the Indian monsoon rainfall and circulation. The changes in the continental runoff and local hydrological cycle are responsible for an increase in salinity in the Bay of Bengal. This therefore compares favourably with the new sea water delta O-18 record presented here and the hypothesis of synchronous cold North Atlantic and weak Indian monsoon events. Additional sensitivity experiments are produced with the LMDZ atmospheric model to analyse the teleconnection mechanisms between the North Atlantic and the Indian monsoon. The changes over the tropical Atlantic are shown to be essential in triggering perturbations of the subtropical jet over Africa and Eurasia, that in turn affect the intensity of the Indian monsoon. These relationships are also found to be valid in additional coupled model simulations in which the Atlantic meridional overturning circulation (AMOC) is forced to resume.