The Red Sea is located between North Africa and the Arabian Peninsula, the largest sources of dust in the world. Satellite retrievals show very high aerosol optical depth in the region, which increases during the summer season, especially over the southern Red Sea. Previously estimated and validated radiative effect from dust is expected to have a profound thermal and dynamic impact on the Red Sea, but that impact has not yet been studied or evaluated. Due to the strong dust radiative effect at the sea surface, uncoupled ocean modeling approaches with prescribed atmospheric boundary conditions result in an unrealistic ocean response. Therefore, to study the impact of dust on the regional climate of the Middle East and the Red Sea, we employed the Regional Ocean Modeling System fully coupled with the Weather Research and Forecasting model. We modified the atmospheric model to account for the radiative effect of dust. The simulations show that, in the equilibrium response, dust cools the Red Sea, reduces the surface wind speed, and weakens both the exchange at the Bab‐el‐Mandeb strait and the overturning circulation. The salinity distribution, freshwater, and heat budgets are significantly altered. A validation of the simulations against satellite products indicates that accounting for radiative effect from dust almost completely removes the bias and reduces errors in the top of the atmosphere fluxes and sea surface temperature. Our results suggest that dust plays an important role in the energy balance, thermal, and circulation regimes in the Red Sea.