Explosive volcanism imposes impulse‐like radiative forcing on the climate system, providing a natural experiment to study the climate response to perturbation. Previous studies have identified disagreements between paleoclimate reconstructions and climate model simulations with respect to the magnitude and recovery from volcanic cooling, questioning the fidelity of climate model simulations, reconstructions, or both. Using the paleoenvironmental data assimilation framework of the Last Millennium Reanalysis, this study investigates the causes of the disagreements, using both real and simulated data. We demonstrate that discrepancies since 1600 CE can be largely resolved by assimilating tree‐ring density records only, targeting growing season temperature instead of annual temperature, and performing the comparison at proxy locales. Simulations of eruptions earlier in the last millennium may also reflect uncertainties in forcing and modeled aerosol microphysics. Plain Language Summary The response to volcanic eruptions is a critical benchmark of the performance of climate models. Previous studies of the past millennium have identified discrepancies between model simulations and climate reconstructions regarding the temperature response to volcanic eruptions, raising concerns regarding the source of this mismatch and implications for both models and reconstructions. By evaluating the leading sources of differences between simulations and reconstructions, this study shows that accounting for known factors largely bridges the gap. Key Points We explore model‐proxy disagreement on the temperature response to volcanic eruptions over the past millennium Using paleoclimate data assimilation with both real and synthetic data, we show that this discrepancy is due to four main factors Over the past 400 years, agreement is found for tree‐ring density records at the places and season these proxies record