The interglacial Marine Isotope Stage (MIS) 11 received special attention due to its remarkable resemblance with present-day climate. Based on synchronicity of marine, ice sheet and terrestrial proxy responses, warm episodes with intervening cool phase(s) at MIS 11 are qualitatively established. Here we quantitatively evaluate 15 climate proxies during 368–552 kyr intervals adopting a novel long-range cross-correlation approach and information theory based similarity measures. We also estimate the information flow rate and dominant flow direction between these climate variables using transfer entropy and the related directionality index. Our results unequivocally establish that atmospheric CO2 (pCO2) is the driving signal while all other proxies used in this study are the responses. The climate forcing greenhouse gas, the atmospheric CO2 (pCO2) and the response signals like sea surface temperature (SST) and carbon isotope composition of total organic carbon (δ13CTOC) proxies are strongly correlated (∼1 or −1) without significant observable time lag (less than 1 kyr). Various substages of MIS 11 are recognizable in the SST data alone based on normalized similarity measures. Additionally, eight more proxies from lacustrine sediments are identified as primary. During the cooler substages these proxies bear more similarity with ambient atmospheric pCO2. Thus, the information theory–based similarity measures suggest that atmospheric CO2 fluctuations are best captured by at least 9 climate proxies during cooler interglacial events. Based on the results related to interglacial MIS 11 and 13 obtained in this study, an important implication relevant to anthropogenic CO2input to the present-day atmosphere can be distilled. It is that sensitive and better-coupled response proxies such as SST and MAT, which already show an increasing trend, are likely to behave in a more dissimilar manner in future. That is, they tend to behave more independently in the near future (∼0.75 kyr).