Atmospheric cold pools are frequently observed during the Madden‐Julian Oscillation events and play an important role in the development and organization of large‐scale convection. They are generally associated with heavy precipitation and strong winds, inducing large air‐sea fluxes and significant sea surface temperature (SST) fluctuations. This study provides a first detailed investigation of the upper ocean response to the strong cold pools associated with the Madden‐Julian Oscillation, based on the analysis of in situ data collected during the Dynamics of the Madden‐Julian Oscillation (DYNAMO) field campaign and one‐dimensional ocean model simulations validated by the data. During strong cold pools, SST drops rapidly due to the atmospheric cooling in a shoaled mixed layer caused by the enhanced near‐surface salinity stratification generated by heavy precipitation. Significant contribution also comes from the component of surface heat flux produced by the cold rain temperature. After the period of heavy rain, while net surface cooling remains, SST gradually recovers due to the enhanced entrainment of warmer waters below the mixed layer.