Diurnal warm layers develop in the upper ocean on sunny days with low surface wind speeds. They rectify intraseasonal sea‐surface temperatures (SSTs), potentially impacting intraseasonal weather patterns such as the Madden–Julian Oscillation (MJO). Here we analyse 15‐lead‐day forecast composites of coupled ocean–atmosphere and atmosphere‐only numerical weather prediction (NWP) models of the UK Met Office to reveal that the presence of diurnal warming of SST (dSST) leads to a faster MJO propagation in the coupled model compared with the atmosphere‐only model. To test the feedback between the MJO and the dSST, we designed a set of experiments with instantaneous vertical mixing over the top 5 or of the ocean component of the coupled model. Weaker dSST in the mixing experiments leads to a slower MJO over 15 lead days. The dSST produces a increase in the MJO phase speed between the coupled and the atmosphere‐only model. An additional increase is found for other coupling effects, unrelated to the dSST. A two‐way feedback manifests in the coupled model over the 15 lead days of the forecast between the MJO and the dSST. The MJO regime dictates the strength of the dSST and the dSST rectifies the intraseasonal anomalies of SST in the coupled model. Stronger dSST in the coupled model leads to stronger intraseasonal anomalies of SST. The MJO convection responds to these SSTs on a seven‐lead‐day timescale, and feeds back into the SST anomalies within the next three lead days. Overall, this study demonstrates the importance of high vertical resolution in the upper ocean for predicting the eastward propagation of the MJO in an NWP setting, which is potentially impactful for seasonal predictions and climate projections, should this feedback be unrepresented in the models.