Continental margins that exhibit high terrigenous input are generally located near deltas that are capable of transporting large quantities of sediments into the basin. However, in rare cases, high terrigenous sedimentation occurs in regions deprived of major riverine systems where the sedimentary pathway is enigmatic. One such case is the Neogene of the Pelotas Basin of Brazil and Uruguay, adjacent to the La Plata River mouth. Since the Miocene, anomalous sedimentation formed a giant progradational wedge, the Rio Grande Cone, one of the largest submarine fan‐like features on Earth. To understand the Neogene evolution of the margin and the origins of the Rio Grande Cone, here we present a seismic‐stratigraphic framework based on well‐logs and 2D seismic data. Three depositional environments are identified: (1) on the shelf, upper Miocene to Pliocene fluvial channels delivered sand deposits on the mud‐dominated shelf; (2) on the slope, sediment instability resulted in structural deformation and multiple phases of mass transport deposition and (3) on the lower slope and basin floor, large contourite drifts formed by sediment reworking. We classify the Rio Grande Cone as a megaslide complex, due to its depositional and structural setting. Local deltaic systems were active on the shelf in the Neogene, but the limited size of their paleo‐drainage systems in comparison to the volume of sedimentation in the margin suggests that an additional sedimentary pathway existed. In this sense, the demise of an epicontinental sea over the La Plata Basin during the Neogene likely enabled the input of large volumes of fine sediments into the margin, via the La Plata plume water. We suggest that the desiccation of this epicontinental sea and the intensification of ocean currents since the middle Miocene explains the anomalous Neogene terrigenous influx into the SW Atlantic margin.