The interpretation of Palaeozoic marine benthonic ostracods of the Thuringian ‘Ecotype’ or ‘Mega‐assemblage’ as indicative of a palaeopsychrosphere has been controversial. We review the evidence and conclude that the characteristics and distribution of these ostracods are consistent with the existence of deep, cold, well‐oxygenated water masses, formed by high‐latitude sinking of surface waters, in the Devonian oceans, comparable with those of the modern ocean that constitute the psychrosphere (waters below the thermocline with temperature <10°C). We present a new palaeoceanographic model for the Frasnian–Famennian (Late Devonian) Kellwasser events that resulted in the extinction of 75% of marine ostracod taxa, mostly neritic or pelagic forms, while the deep water Thuringian Mega‐assemblage was relatively unaffected. We offer an explanation for the unlikely preservation of examples of such a deep water (bathyal to abyssal) ostracod fauna that involves upwelling of deep cold waters on continental margins.