The Last Interglacial (LIG; 130–115 ka) is an important test bed for climate science as an instance of significantly warmer than preindustrial global temperatures. However, LIG climate patterns remain poorly resolved, especially for winter, affected by a suite of strong feedbacks such as changes in sea-ice cover in the high latitudes. We present a synthesis of winter temperature and precipitation proxy data from the Atlantic seaboard of Europe, spanning from southern Iberia to the Arctic. Our data reveal distinct, opposite latitudinal climate trends, including warming winters seen in the European Arctic while cooling and drying occurred in southwest Europe over the LIG. Climate model simulations for 130 and 120 ka suggest these contrasting climate patterns were affected by a shift toward an atmospheric circulation regime with an enhanced meridional pressure gradient and strengthened midlatitude westerlies, leading to a strong reduction in precipitation across southern Europe.