Deep convection in the Indo-Pacific Warm Pool (IPWP) provides a major source of heat and moisture, thereby affecting the global climate, but its past changes remain debated. Here, we present the first sub-millennial clay mineralogy and element records spanning the last 40 kyr from within the IPWP. From these data, we infer millennial-scale fluctuations in precipitation, with generally lower precipitation during the Heinrich Stadials 1-4, corresponding to El Niño-like conditions. Higher precipitation coincided with the warm interstadials, accompanied by La Niña-like conditions. Moreover, our record indicates lowest precipitation during the late Holocene, supporting the hypothesis of a stronger-than-modern Walker circulation during the Last Glacial Maximum. In combination with other records and a modelling comparison, we propose that precipitation in the eastern IPWP is dominantly influenced by the ENSO-like system, whereas precipitation in the western IPWP is more sensitive to migration of the Intertropical Convergence Zone.