The TEX86 paleothermometer has been extensively used to reconstruct past sea water temperatures, but it remains unclear which export depths the proxy represents. Here we used a novel approach to better constrain the proxy recording depths by investigating paleotemperature proxies (TEX86, UK'37, RI-OH and RI-OH') from two pairs of proximal (< 12 km apart) cores from Chilean and Angola margin, respectively. These cores are from steep continental slopes and lower shelves, which leads to a substantial difference in water depth between them despite being closely located. Surprisingly, the deep and the shallow UK'37 records at the Chilean margin shows dissimilarities, in contrast to the similar records from the Angola margin, which may be due to post-depositional alteration at the former sites. In contrast, the TEX86 records were statistically indistinguishable between the sites at both the locations, even though the GDGT [2]/[3] ratio suggests GDGTs derived from potentially different archaeal communities residing at different depths. A short-lived difference between the TEX86 records is observed during the last glacial period at the Angola margin, possibly due to a contribution of Antarctic Intermediate Waters to the deep site. Modelling suggests that the TEX86 source signal at our core sites reaches its peak abundance at water depths shallower than 350 m. The RI-OH and RI-OH' records show similar variability as the TEX86 records, although regional differences in their absolute temperature estimates exist. Our approach using proximal sediment cores at steep slopes appears useful to constrain the export depth of organic proxy signals for paleoreconstructions.