In this work we use a regional atmosphere–ocean coupled model (RAOCM) and its stand-alone atmospheric component to gain insight into the impact of atmosphere–ocean coupling on the climate change signal over the Iberian Peninsula (IP). The IP climate is influenced by both the Atlantic Ocean and the Mediterranean sea. Complex interactions with the orography take place there and high-resolution models are required to realistically reproduce its current and future climate. We find that under the RCP8.5 scenario, the generalized 2-m air temperature (T2M) increase by the end of the twenty-first century (2070–2099) in the atmospheric-only simulation is tempered by the coupling. The impact of coupling is specially seen in summer, when the warming is stronger. Precipitation shows regionally-dependent changes in winter, whilst a drier climate is found in summer. The coupling generally reduces the magnitude of the changes. Differences in T2M and precipitation between the coupled and uncoupled simulations are caused by changes in the Atlantic large-scale circulation and in the Mediterranean Sea. Additionally, the differences in projected changes of T2M and precipitation with the RAOCM under the RCP8.5 and RCP4.5 scenarios are tackled. Results show that in winter and summer T2M increases less and precipitation changes are of a smaller magnitude with the RCP4.5. Whilst in summer changes present a similar regional distribution in both runs, in winter there are some differences in the NW of the IP due to differences in the North Atlantic circulation. The differences in the climate change signal from the RAOCM and the driving Global Coupled Model show that regionalization has an effect in terms of higher resolution over the land and ocean.