The Eocene-Oligocene Transition at c. 34 million years ago (Ma) marked the global change from greenhouse to icehouse and the establishment of the East Antarctic Ice Sheet (EAIS). How the ice-sheet behaviour changed during interglacials across this climate transition is poorly understood. We analysed major, trace and rare earth elemental data of late Eocene interglacial mudstone from Prydz Bay at Ocean Drilling Program Site 1166 and early Oligocene interglacial mudstone from Integrated Ocean Drilling Program Site U1360 on the Wilkes Land continental shelf. Both sites have comparable glaciomarine depositional settings. Lithofacies and provenance at Site 1166 in Prydz Bay are indicative of a late Eocene glacial retreat in the Lambert Graben. Palaeoclimate proxies, including the Chemical Index of Alteration, mean annual temperature and mean annual precipitation, show a dominant warm and humid palaeoclimate for the late Eocene interglacial. In contrast, at Site U1360, in the early Oligocene, the provenance and interglacial weathering regime remained relatively stable with conditions of physical weathering. These results confirm that the EAIS substantially retreated periodically during late Eocene interglacials and that subglacial basins probably remained partially glaciated during interglacials in the earliest Oligocene.