The evolution of the northwest African hydrological balance throughout the Pleistocene epoch influenced the migration of prehistoric humans. The hydrological balance is also thought to be important to global teleconnection mechanisms during Dansgaard-Oeschger and Heinrich events. However, most high-resolution African climate records do not span the millennial-scale climate changes of the last glacial-interglacial cycle, or lack an accurate chronology. Here, we use grain-size analyses of siliciclastic marine sediments from off the coast of Mauritania to reconstruct changes in northwest African humidity over the past 120,000 years. We compare this reconstruction to simulations of palaeo-humidity from a coupled atmosphere-ocean-vegetation model. These records are in good agreement, and indicate the reoccurrence of precession-forced humid periods during the last interglacial period similar to the Holocene African Humid Period. We suggest that millennial-scale arid events are associated with a reduction of the North Atlantic meridional overturning circulation and that millennial-scale humid events are linked to a regional increase of winter rainfall over the coastal regions of northwest Africa.