Sea‐level data from two sites in northern New Zealand, along with the Southern Oscillation Index (SOI), are analysed for interannual and decadal variability using wavelets. The analysis shows, using statistically significant wavelet power, there is a significant relationship between mean sea level (MSL) and SOI. However, the relationship is highly variable, both in magnitude and in the range of time‐scales over which it occurs. This non‐stationarity necessitates the use of techniques such as wavelets for analysis. An interdecadal response in MSL around northern New Zealand has been isolated, with shifts occurring in 1950 and the late 1970s. This behaviour in MSL appears to coincide with shifts in the Pacific Decadal Oscillation, thought previously to be largely centred in the North Pacific. A strong correlation between SOI and sea surface temperature (SST) is also demonstrated. This relationship appears to be stable in magnitude (a large change in SOI produces a large change in SST) and to occur over the same range of time‐scales. More SST and MSL data are required for other parts of New Zealand to determine whether these findings apply elsewhere.