Paleoclimatologists generally consider past epochs on the basis of whether they were warmer or colder than today's climate. It is often not possible, however, to consider potential changes in the annual cycle because of limited seasonal emphases in many climate proxies. Using both long European instrumental records and longer European and Chinese documentary series, we show that winters have warmed relative to summers over the last 200 years compared to earlier in the millennium. Without more widespread data we do not know how general these changes are, but if they are applicable to other parts of the world, there are two principal implications for paleoclimatology. First, because high-frequency climate information obtained from some proxies is more indicative of summer conditions, it may give erroneous indications of the past if used to reconstruct mean temperatures over the whole calendar year. Second, climate model integrations of the last millennium would be expected to produce seasonal differences on century timescales, so this measure should be used as one of the important indicators of model performance.