The transition from glacial to interglacial periods has been hypothesized to be linked to millennial-scale changes in oceanic/atmospheric circulation, but the relationships between these phenomena remain poorly constrained. Here we present a speleothem oxygen isotope record from Yongxing Cave, China, spanning 40.9 to 33.1 ka and compare this to existing Antarctic proxy records. We find that decadal-to-centennial rapid shifts in the Asian summer monsoon, Antarctic temperature, atmospheric methane and carbon dioxide are all coupled together during Dansgaard–Oeschger cycles, which may suggest an important role of the Intertropical Convergence Zone and Southern Ocean in driving the global greenhouse gas changes. Analogous to millennial-scale variations in trend, amplitude and internal sub-centennial-scale structures during Dansgaard–Oeschger 8 and Heinrich Stadial 4, the Younger Dryas and Heinrich Stadial 1 during the last ice termination provided critical positive feedbacks to changes in terrestrial vegetation and northern ice volume, and may have contributed to glacial to interglacial transition.