A high-resolution dataset is provided on marine and terrestrial biomarkers, alkenone-derived sea surface temperature (SST), and calcareous plankton key taxa in temporally well constrained, high resolution benthic and planktonic oxygen isotope records at Integrated Ocean Drilling Program site U1387 in the Gulf of Cadiz. The investigated time interval encompasses the Early Pleistocene marine isotope stages (MIS) late 49 to MIS 43. The aim is to evidence millennial climate variability during glacial phases of the "41 kyr world" and understand the impact of North Atlantic climate dynamics on the southern Portuguese margin. The age model was obtained by tuning the site U1387 Globigerina bulloides δ18O record (Voelker, 2025) to the high-resolution G. bulloides δ18O record of IODP site U1385 on its LR04-related chronology. Quantitative analyses on coccolithophore assemblages were performed at the Dipartimento di Scienze della Terra e Geoambientali, Bari University (Italy), using a polarized light microscope at 1000 X magnification, and abundances were determined by counting at least 500 coccoliths of all sizes. Abundances of taxa were expressed as percentage. Total coccolith abundances were expressed as n°/g of sediment. Reworked coccoliths or nannoliths plus lithics (>10 mm) have been counted separately during the analysis. Nannofossil dissolution index (DI) has been calculated as follows: small gephyrocapsids/(small gephyrocapsids + Calcidiscus leptoporus).