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. The extraction of marine and terrestrial lipid biomarkers was performed in the biogeochemistry lab of the Instituto Português do Mar e da Atmosfera (IPMA). The sea surface temperature (SST) was derived from the U₃₇ᴷ' values: SST [Uk'37 = (0.033*SST) + 0.044].