Climate in the Arctic region and northwestern Europe is strongly affected by the North Atlantic Oscillation (NAO), the dominant mode of atmospheric variability at mid-latitudes in the North Atlantic region. The NAO index is an indicator of atmospheric circulation and weather patterns: when the index is positive, Europe and the eastern US are mild and wet, whereas Greenland and northern Canada are cold and dry. A negative index is associated with the reverse pattern. Reconstructions of the NAO have so far been limited to the past 900 years. Here we analyse a 5,200-year-long, high-resolution lake sediment record from southwestern Greenland to reconstruct lake hypolimnic anoxia, and link the results to an existing reconstruction of the NAO index from tree rings and speleothems. Using the relationship between the two records, we find that around 4,500 and 650 years ago--around the end of the Holocene Thermal Maximum and the beginning of the Little Ice Age, respectively--the NAO changed from generally positive to variable, intermittently negative conditions. We suggest that variability in the dominant state of the NAO tend to coincide with large-scale changes in Northern Hemisphere climate. However, the onset of the Medieval Climate Anomaly was not associated with any notable changes in the NAO.