In the present study, we analyzed the interannual linkage between the boreal winter Arctic Oscillation (AO) and East African early short rains. When the Indian Ocean Dipole and El Niño–Southern Oscillation variance are excluded by linear regression, the boreal winter AO index is significantly correlated with the October East African precipitation over the domain of 5°N–5°S and 35°–45°E for the period 1979–2014, r =+ 0.46. The upper ocean heat content likely acts as a medium that links the AO and East African precipitation. Significant subsurface warming and positive upper ocean heat content anomalies occur over the western Indian Ocean during the autumn following positive AO winters, which enriches the atmospheric moisture, intensifies convection, and enhances precipitation. Oceanic dynamics play a key role in causing this subsurface warming. Winter AO‐related atmospheric circulation creates anomalous wind stress, which forces a downwelling oceanic Rossby wave between 60°–75°E and 5°–10°S, where the thermocline significantly deepens. This Rossby wave propagates westward and accompanies significant subsurface warming along the thermocline. The Rossby wave arrives at the western Indian Ocean in the late summer, significantly warming the region to the west of 55°E at a depth of 60–100 m. This warming remains significant through October. Correspondingly, the upper ocean heat content significantly increases by approximately 2–3 × 108 J m−2 in the region west of 60°E between 5° and 10°S. The role of these oceanic dynamics in linking the winter AO, and anomalous subsurface warming was tested by numerical experiments with an oceanic general circulation model. The experiments were performed with the forcing of AO‐related wind stress anomalies over the Indian Ocean in the winter. The oceanic Rossby wave generated in the central Indian Ocean during boreal winter, the consequent subsurface warming, and the anomalous upper ocean heat content in October over the western Indian Ocean were all adequately reproduced. The winter AO can serve as a precursor of East African short rain anomalies.