Marine heatwaves (MHWs) can cause devastating impacts in coastal marine ecosystems, particularly in shallow marginal seas, thereby making the understanding of the drivers of these events of paramount importance. Here, drivers for summer and winter MHWs are explored for the period 1980–2016 in the Baltic Sea, a mid-latitude marginal sea with a permanent haline water-column stratification located on the northwestern European shelf. It was found that summer MHWs are mainly forced by local meteorological conditions over the open water. They are caused by a dominant blocking over Scandinavia promoting anomalous strong shortwave downflux, calm winds, and low vertical mixing with colder sub-thermocline waters. Wintertime MHWs are linked to the advection of warm and moist air originating from the North Atlantic. These air masses lower the oceanic net heat loss at the sea surface primarily in the form of reduced latent and sensible heat losses. Vertical ocean dynamics are also affected during winter MHWs. This study finds a strengthened coastal up- and downwelling due to anomalous strong westerly winds during the time before MHWs culminate in their maximal surface extension.