Simple models of the El Niño‐Southern Oscillation (ENSO) phenomenon have provided many of our basic ideas about ENSO mechanisms. These models exhibit a range of correlation patterns between thermocline depth anomaly (Z₂₀A) and sea surface temperature anomaly (SSTA). We use 13 years of Pacific equatorial waveguide observations to explore the relationships between Z₂₀A and SSTA. We find significant correlation in the eastern Pacific, and in the east‐central Pacific when the east‐central Pacific is normal or cooler than normal. We find no correlation in the western, west‐central and east‐central (when warmer than normal) Pacific. It is inappropriate to attribute SSTA changes to Z₂₀A changes. Coupled ENSO models should be reexamined in light of these observed Z₂₀A/SSTA relationships. Analysis of ocean general circulation models suggests that progress in understanding ENSO may depend as much on understanding SSTA/wind/near‐surface current relationships and processes, as upon thermocline change processes.