The long‐chain diol index (LDI) is a relatively new proxy for sea surface temperature (SST) which has been rarely applied in upwelling regions. Here, we evaluated its application by comparison with other SST records obtained by commonly used proxies, that is, the Mg/Ca ratio of the planktonic foraminifera species Globigerinoides ruber and the alkenone paleothermometer UK´37. We focused on the last glacial–interglacial transition of four different sedimentary archives from the western and northern Arabian Sea, which are currently under the influence of monsoon‐induced upwelling and the associated development of an oxygen minimum zone. The normalUK′37 ${{\mathrm{U}}^{\mathrm{K}\prime }}_{37}$ and Mg/CaG.ruber SST records revealed an increase of 0.6–3.4°C from the Last Glacial Maximum to the late Holocene with somewhat higher amplitude in the northern part of the Arabian Sea than compared to the western part. In contrast, the LDI SSTs did not reveal major changes during the last glacial–interglacial transition which was followed by a decreasing trend during the Holocene. The LGM versus the Holocene LDI SSTs ranged between −0.2 and −2.7°C. Particularly at one record, offshore Oman, the SST decrease during the Holocene was high in amplitude, suggesting a potential cold bias, possibly related to changes in upwelling intensity. This indicates that care has to be taken when applying the LDI for annual mean SST reconstruction in upwelling regions.