Large rapid climate changes occurred over the last glacial cycle in the southwestern United States and elsewhere in many regions of the world. Some of these changes were attributed to alternations between stadial and interstadial conditions in the North Atlantic. But intense debate exists on how climate anomalies in the North Atlantic transmit to the southwest. Here we report a sediment record from San Luis Lake in southern Colorado, through analyses of grain size, magnetic susceptibility, Mg/Ca, total inorganic carbon, δ18O and δ13C, to indicate climatic and environmental changes in the southern Rocky Mountains over the last 16.5 ka. We found that San Luis Lake remained hydrologically closed most of the time but overflowed during the second half of the Mystery Interval (the Big Wet: 15.7–14.9 ka) and the latter part of the mid-Holocene (the Neopluvial: 4–3 ka). Over the course of the last deglaciation, San Luis Lake underwent a series of large millennial-scale hydroclimatic changes such as the Big Dry (16.5–15.7 ka), the Big Wet, the Bølling–Allerød dry (14.9–12.7 ka), and the Younger Dryas wet (12.8–11.6 ka), corresponding to warm/cold phases in the high-latitude Northern Hemisphere. The North American monsoon waxed during the Pre-Boreal interval (11.6–10.5 ka) and waned through the Holocene, in phase with northward and southward displacement of the intertropical convergence zone (ITCZ). The San Luis Lake basin was relatively dry in the early Holocene (10.5–6.7 ka), wet and fluctuating in the mid-Holocene (6.7–2.6 ka), and dry and less variable in the late Holocene (2.6–0 ka). We found evidence that extreme pluvial episodes of the southern Rocky Mountains and elsewhere in the American Southwest were coeval with cold phases of the North Pacific. Our results highlight the role of the North Pacific in modulating atmospheric circulations over the region on millennial timescales.