Although millennial-scale climate variability (<10 ka) has been well studied during the last glacial cycles, little is known about this important aspect of climate in the early Pleistocene, prior to the Middle Pleistocene Transition. Here we present an early Pleistocene climate record at centennial resolution for two representative glacials (marine isotope stages (MIS) 37–41 from approximately 1235 to 1320 ka) during the “41 ka world” at Integrated Ocean Drilling Program Site U1385 (the “Shackleton Site”) on the southwest Iberian margin. Millennial-scale climate variability was suppressed during interglacial periods (MIS 37, MIS 39, and MIS 41) and activated during glacial inceptions when benthic δ^18O exceeded 3.2‰. Millennial variability during glacials MIS 38 and MIS 40 closely resembled Dansgaard-Oeschger events from the last glacial (MIS 3) in amplitude, shape, and pacing. The phasing of oxygen and carbon isotope variability is consistent with an active oceanic thermal bipolar see-saw between the Northern and Southern Hemispheres during most of the prominent stadials. Surface cooling was associated with systematic decreases in benthic carbon isotopes, indicating concomitant changes in the meridional overturning circulation. A comparison to other North Atlantic records of ice rafting during the early Pleistocene suggests that freshwater forcing, a s proposed for the late Pleistocene, was involved in triggering or amplifying perturbations of the North Atlantic circulation that elicited a bipolar see-saw response. Our findings support similarities in the operation of the climate system occurring on millennial time scales before and after the Middle Pleistocene Transition despite the increases in global ice volume and duration of the glacial cycles.