The Southern Hemisphere westerly wind belt (SHWW) is a major feature of Southern Hemisphere, midlatitude climate that is closely linked with the sequestration and release of CO2 in the Southern Ocean. Past changes in the strength and position of this wind belt are poorly resolved, particularly across the Pleistocene-Holocene transition, a time period associated with fluctuations in atmospheric temperatures and CO2 levels. We used dust geochemistry, particle size measurements, and paleoecological analyses from a peat sequence in the Falkland Islands, South Atlantic Ocean, to describe changes in the SHWW between 16.0 and 6.5 ka (thousands of years before CE 1950). Wind strength was low at ~51°S before and during the Antarctic Cold Reversal (ACR, 14.9–13.0 ka), intensified between 13.1 and 12.1 ka as atmospheric temperatures increased, and then weakened, reaching a minimum between 12.1 and 10.9 ka during the Early Holocene thermal maximum. Northwesterly air masses became more dominant from 12.0 to 10.2 ka, and wind strength remained low until our record was affected by a storm surge or tsunami ca. 7.8 ka. These data indicate a southward shift in the latitude of the SHWW, from north of 51°S prior to and during the ACR, at ~51°S before the onset of the Holocene, and south of 51°S during the early Holocene thermal maximum. This pattern suggests that the latitude of the SHWW was coupled with atmospheric temperatures through the Pleistocene-Holocene transition.