Madeira island is a well‐known source of atmospheric and oceanic eddy activity, with relevant downstream impact in both media. Previous studies focused on the dynamics of the island wake environment, suggesting the relevance of different atmosphere–ocean interactions in its maintenance. Here, results from one summer (two months) of fully coupled atmosphere–ocean high‐resolution simulations are used to explore such interactions and to further understand the dynamics of Madeira's wake. Those results, validated against available in situ and remote‐sensing data, indicate that the atmospheric and ocean circulations near Madeira are dominated by the variability of two quasi‐permanent features, its tip‐jets, and more so by the variability of its eastern jet. While both jets are of comparable magnitude and present similar intraseasonal variability at the multi‐week time‐scale, they are associated with qualitatively different forcing. The jets dominate the atmosphere forcing over the upper ocean, leading to enhanced mixing and deeper mixed‐layer depth. Oceanic eddies are more frequent in the east jet region, as shedding anticyclones, confirming observational evidence. A comparison with a similar one‐way coupled atmospheric simulation indicates that atmosphere–ocean feedbacks are relevant to the coastal surface temperature.