Over the past decades surface warming in the southern subtropical Indian Ocean (IO) has been greater than that in other oceans. The warming penetrates to a depth of 800 m, in contrast to the off‐equatorial surface warming which co‐exists with subsurface cooling. We examine the dynamics for this rich structure. Results from the 20th century experiments of the Intergovernmental Panel on Climate Change (IPCC) confirm that the southern subtropical IO surface‐to‐800 m warming is greater than that in the Pacific and Atlantic Oceans. Outputs from two targeted ensemble sets of coupled model experiments, one with and one without increasing anthropogenic aerosols, show that increasing aerosols strengthen the global Conveyor, and generate a greater poleward shift and intensification of the Agulhas outflow and its retroflection; the process increases the warming rate in the subtropics, and takes heat out of the off‐equatorial region generating a cooling.