Two marine heat wave events along Western Australia (WA) during the alternate austral summer periods of 2010/2011 and 2012/2013, both linked to La Niña conditions, severely impacted marine ecosystems over more than 12° of latitude, which included the unprecedented bleaching of many coral reefs. Although these two heat waves were forced by similar large‐scale climate drivers, the warming patterns differed substantially between events. The central coast of WA (south of 22°S) experienced greater warming in 2010/2011, whereas the northwestern coast of WA experienced greater warming in 2012/2013. To investigate how oceanic and atmospheric heat exchange processes drove these different spatial patterns, an analysis of the ocean heat budget was conducted by integrating remote sensing observations, in situ mooring data, and a high‐resolution (∼1 km) ocean circulation model (Regional Ocean Modeling System). The results revealed substantial spatial differences in the relative contributions made by heat advection and air‐sea heat exchange between the two heat wave events. During 2010/2011, anomalous warming driven by heat advection was present throughout the region but was much stronger south of 22°S where the poleward‐flowing Leeuwin Current strengthens. During 2012/2013, air‐sea heat exchange had a much more positive (warming) influence on sea surface temperatures (especially in the northwest), and when combined with a more positive contribution of heat advection in the north, this can explain the regional differences in warming between these two La Niña‐associated marine heat wave events.