The variability of El Niño/Southern Oscillation (ENSO) during the Holocene epoch, in particular on millennial timescales, is poorly understood. Palaeoclimate studies have documented ENSO variability for selected intervals in the Holocene, but most records are either too short or insufficiently resolved to investigate variability on millennial scales. Here we present a record of sedimentation in Laguna Pallcacocha, southern Ecuador, which is strongly influenced by ENSO variability, and covers the past 12,000 years continuously. We find that changes on a timescale of 2-8 years, which we attribute to warm ENSO events, become more frequent over the Holocene until about 1,200 years ago, and then decline towards the present. Periods of relatively high and low ENSO activity, alternating at a timescale of about 2,000 years, are superimposed on this long-term trend. We attribute the long-term trend to orbitally induced changes in insolation, and suggest internal ENSO dynamics as a possible cause of the millennial variability. However, the millennial oscillation will need to be confirmed in other ENSO proxy records.