A recent study has brought to light the co‐existence of two distinct Atlantic Equatorial Modes during negative phases of the Atlantic Multidecadal Variability: the Atlantic Niño and Horse‐Shoe (HS) mode. Nevertheless, the associated air‐sea interactions for HS mode have not been explored so far and the prevailing dynamic view of the Atlantic Niño has been questioned. Here, using a forced ocean model simulation, we find that for both modes, ocean dynamics is essential to explain the equatorial SST variations, while air‐sea fluxes control the off‐equatorial SST anomalies. Moreover, we demonstrate the key role played by ocean waves in shaping their distinct structure and timing. For the positive phase of both Atlantic Niño and HS, anomalous westerly winds trigger a set of equatorial downwelling Kelvin waves (KW) during spring‐summer. These dKWs deepen the thermocline, favouring the equatorial warming through vertical diffusion and horizontal advection. Remarkably, for the HS, an anomalous north‐equatorial wind stress curl excites an upwelling Rossby wave (RW), which propagates westward and is reflected at the western boundary becoming an equatorial upwelling KW. The uKW propagates to the east, activating the thermocline feedbacks responsible to cool the sea surface during summer months. This RW‐reflected mechanism acts as a negative feedback causing the early termination of the HS mode. Our results provide an improvement in the understanding of the TAV modes and emphasize the importance of ocean wave activity to modulate the equatorial SST variability. These findings could be very useful to improve the prediction of the Equatorial Modes.