Decreased body size is often cited as a major response to ocean warming. Available evidence, however, questions the actual emergence of shrinking trends and the prevalence of temperature‐driven changes in size over alternative drivers. In marine fish, changes in food availability or fluctuations in abundance, including those due to size‐selective fishing, provide compelling mechanisms to explain changes in body size. Here, based on three decades of scientific survey data (1990–2021), we report a decline in the average body size—length and weight—of anchovy, Engraulis encrasicolus L., in the Bay of Biscay. Shrinking was evident in all age classes, from juveniles to adults. Allometric adjustment indicated slightly more pronounced declines in weight than in total length, which is consistent with a change toward a slender body shape. Trends in adult weight were nonlinear, with rates accelerating to an average decline of up to 25% decade−1 during the last two decades. We found a strong association between higher anchovy abundance and reduced juvenile size. The effect of density dependence was less clear later in life, and temperature became the best predictor of declines in adult size. Theoretical analyses based on a strategic model further suggested that observed patterns are consistent with a simultaneous, opposing effect of rising temperatures on accelerating early growth and decreasing adult size as predicted by the temperature‐size rule. Macroecological assessment of ecogeographical—Bergmann's and James'—rules in anchovy size suggested that the observed decline largely exceeds intraspecific variation and might be the result of selection. Limitations inherent in the observational nature of the study recommend caution and a continued assessment and exploration of alternative drivers. Additional evidence of a climate‐driven regime shift in the region suggests, however, that shrinking anchovy sizes may signal a long‐lasting change in the structure and functioning of the Bay of Biscay ecosystem.