The Madden–Julian oscillation (MJO) is closely related to the intraseasonal variability of surface temperature in East Asia. It has been shown that significant cold surface temperature anomalies are observed in East Asia during MJO phase 3. However, the cooling tendency develops prior to phase 3, suggesting that the cold surface anomalies in East Asia are a delayed and accumulated response to the MJO forcings prior to phase 3. Here, using a thermodynamic equation, it is shown that both meridional advection and adiabatic cooling terms associated with the MJO flow are the dominant contributors to the cooling tendency. The meridional cold advection initially manifests in East Asia in the form of northerly wind anomalies in the eastern part of anticyclonic circulation anomalies that are centered over eastern Europe and develop before the establishment of the cold anomalies. It is suggested that the enhanced convection in the western North Pacific Ocean is responsible for the anomalous anticyclonic flow over eastern Europe with about a 10-day lag via a meridionally propagating Rossby wave train. Further, cooling by the vertical wind component in East Asia is a result of adiabatic cooling interpreted as a reversed local overturning circulation, with downward motion in the tropics and upward motion in the subtropics. This anomalous meridional overturning circulation process initiated from suppressed convection spanning the tropical Indian Ocean to East Asia also takes about 10 days. Therefore, both the Rossby wave propagation and a local overturning circulation induced by the tropical convections play an important role in driving the lagged response of cold surface anomalies in East Asia. Interestingly, these tropical convection forcings are similar to the typical dipole pattern in convection during MJO phase 7, with suppressed Indian Ocean convection and enhanced western North Pacific convection. This implies that the dipole convective forcing during MJO phase 7 possibly leads to the cold anomalies in East Asia following phase 3.