Global warming is expected to decrease ocean oxygen concentrations by less solubility of surface ocean and change in ocean circulation. The associated expansion of the oxygen minimum zone would have adverse impacts on marine organisms and ocean biogeochemical cycles. Oxygen reduction is expected to persist for a thousand years or more, even after atmospheric carbon dioxide stops rising. However, long‐term changes in ocean oxygen and circulation are still unclear. Here we simulate multimillennium changes in ocean circulation and oxygen under doubling and quadrupling of atmospheric carbon dioxide, using a fully coupled atmosphere‐ocean general circulation model and an offline biogeochemical model. In the first 500 years, global oxygen concentration decreases, consistent with previous studies. Thereafter, however, the oxygen concentration in the deep ocean globally recovers and overshoots at the end of the simulations, despite surface oxygen decrease and weaker Atlantic meridional overturning circulation. This is because, after the initial cessation, the recovery and overshooting of deep ocean convection in the Weddell Sea enhance ventilation and supply oxygen‐rich surface waters to deep ocean. Another contributor to deep ocean oxygenation is seawater warming, which reduces the export production and shifts the organic matter remineralization to the upper water column. Our results indicate that the change in ocean circulation in the Southern Ocean potentially drives millennial‐scale oxygenation in deep ocean, which is opposite to the centennial‐scale global oxygen reduction and general expectation. Key Points Deep ocean oxygen overshoots pre‐industrial condition under 2 and 4 × CO2 level Enhanced deep convection in the Weddell Sea cause global deep ocean oxygenation Warming and slow freshening of deep water cause enhanced deep convection