The low latitude Indian Ocean is warming faster than other tropical basins, and its interannual climate variability is projected to become more extreme under future emissions scenarios with substantial impacts on developing Indian Ocean rim countries. Therefore, it has become increasingly important to understand the drivers of regional precipitation in a changing climate. Here we present a new speleothem record from Anjohibe, a cave in northwest (NW) Madagascar well situated to record past changes in the Intertropical Convergence Zone (ITCZ). U-Th ages date speleothem growth from 27 to 14 ka. δ 18O, δ 13C, and trace metal proxies reconstruct drier conditions during Heinrich Stadials 1 and 2, and wetter conditions during the Last Glacial Maximum and Bølling–Allerød. This is surprising considering hypotheses arguing for southward (northward) ITCZ shifts during North Atlantic cooling (warming) events, which would be expected to result in wetter (drier) conditions at Anjohibe in the Southern Hemisphere tropics. The reconstructed Indian Ocean zonal (west-east) sea surface temperature (SST) gradient is in close agreement with hydroclimate proxies in NW Madagascar, with periods of increased precipitation correlating with relatively warmer conditions in the western Indian Ocean and cooler conditions in the eastern Indian Ocean. Such gradients could drive long-term shifts in the strength of the Walker circulation with widespread effects on hydroclimate across East Africa. These results suggest that during abrupt millennial-scale climate changes, it is not meridional ITCZ shifts, but the tropical Indian Ocean SST gradient and Walker circulation driving East African hydroclimate variability.