Marine sediments from continental margins provide high-resolution archives of marine and continental climate, in particular near large river mouths. The Zambezi is one of the largest rivers in East Africa, discharging large amounts of fine-grained sediments onto the western margin of the Mozambique Channel. Accurate reconstructions of past variations in river discharge can be retrieved from the depositional history of riverine sediments. In this study, sedimentation patterns along the Mozambique Margin are inferred from a series of sediment cores spanning the last 20 kyr. These cores were retrieved off the Zambezi Mouth from the shelf and from various depths at the continental slope to provide detailed information on the depositional history of this region. High-resolution X-ray fluorescence and magnetic susceptibility core scanning measurements as well as grain-size distributions of the lithogenic sediment fraction, and organic matter and carbonate content analyses resolve centennial–millennial timescale variations in sediment transport and deposition along the Mozambique Margin. Largest changes in lithogenic sediment deposition coincide with the flooding of the Mozambique Shelf. Due to deglacial sea-level rise and changes in oceanic currents, fine-grained, mainly Zambezi sediments were no longer primarily deposited south of the Zambezi Mouth, but increasingly deposited onto the Mozambique Shelf, and transported northwards over the shelf before spilling over to the slope. In addition, flooding of the shelf initiated remobilization and down-slope transport of coarse-grained, winnowed sediments. The Heinrich Event 1 and Younger Dryas are clearly indicated as events of increased fine-grained sediment deposition along the Mozambique Margin, possibly linked to increased riverine runoff from the Zambezi Catchment, which is in harmony with a southward shift of the Intertropical Convergence Zone (ITCZ) and associated African rainfall belts, causing wetter conditions. This study illustrates that interpreting marine and continental climate proxy records in the vicinity of river deltas in terms of climate change requires proper consideration of sea-level and oceanic circulation induced effects on the transport and deposition patterns of fine-grained sediments at continental slopes.