Extracted nonstationary oscillations and nonlinear trends of precipitation and sea surface temperature (SST) data reveal that rainfall variability in Mexico City is mainly composed by a long‐term positive trend, a multidecadal oscillation highly correlated with the Atlantic Multidecadal Oscillation (AMO), and year‐to‐year variability. The precipitation trend, lasting for more than a century, cannot be attributed to global warming or urbanization alone; rather, it can be thought of as part of a natural oscillation composed of alternating wet‐dry anomalies with a period of a couple of centuries, as past evidence indicates. To further test the dependence of the AMO‐related component, yearly SST time series were derived from a simplified model of the atmosphere‐ocean system forced by white noise. The simulated SST time series exhibits AMO‐like variability entirely consistent with the observed one, implying that North Atlantic SST multidecadal variability can be seen as the integrated response of surface ocean layers to external stochastic atmospheric forcing.