Consequences of the mesoscale Thermal FeedBack (TFB) on the ocean dynamics are studied in the South‐East Pacific (SEP) using a high‐resolution regional ocean–atmosphere coupled model. Three simulations are compared: the first one is a fully coupled simulation. In the second one, the TFB has been removed with an online smoothing of the Sea Surface Temperature (SST) conditions used by the atmosphere. In the third one, to disentangle the impact of the nearshore and the offshore TFB, the smoothing is only applied in the offshore region. In the SEP, the coastal upwelling cold tongue constitutes a permanent mesoscale SST pattern. We show that this SST pattern alters the coastal wind structure, reducing the coastal upwelling‐favorable wind intensity. So, the nearshore TFB reduces the coastal surface current and the vertical velocities. As a result, the Eddy Kinetic Energy (EKE) generation by baroclinic conversion is also weakened. In the offshore region, on the contrary, the oceanic mean state is not affected by the TFB and only the EKE is weakened. Composites above the coherent eddies show that the heat flux response to the mesoscale SST anomalies is responsible for the mesoscale activity weakening over the whole studied area. Although the wind response to the SST anomalies has a very weak mean impact on the EKE generation through wind work, we show that it strongly modifies the mean oceanic vertical velocity anomalies over the coherent eddies.