Mesoscale eddies play a crucial role in the dynamical balance of the Southern Ocean (SO) circulation. Yet, it remains unclear why the SO transient eddy activity has significant variations on interannual time scales, and to what extent these low‐frequency variations are attributed to wind forcing changes. Here we use a functional analysis tool, namely, the multiscale window transform (MWT), the MWT‐based theory of canonical transfer and a time‐dependent energetics framework to investigate these issues. Our focus is on the central Pacific sector of the SO in which there is a significant time‐mean and interannual variability of the eddy kinetic energy (EKE). It is found that wind stress does not directly contribute to the interannual EKE variability through wind power injection to the eddies; instead, the influence is fulfilled indirectly through two internal pathways. First, the baroclinic pathway in which the wind‐generated mean kinetic energy (MKE) is converted to the mean available potential energy (APE), and is further released to eddy APE and finally to EKE through baroclinic instability, is the dominant one. Second, the barotropic pathway, in which MKE directly fuels EKE through barotropic instability, is faster but secondary, and its influence is only concentrated along the axis of the Antarctic Circumpolar Current. Our results highlight the dynamical connections between the internal and external processes in the SO energy system, and provide insights into the predictability of the SO eddies on interannual time scales.