The North Atlantic Oscillation (NAO) is the major source of variability in winter atmospheric circulation in the Northern Hemisphere, with large impacts on temperature, precipitation and storm tracks, and therefore also on strategic sectors such as insurance, renewable energy production, crop yields and water management. Recent developments in dynamical methods offer promise to improve seasonal NAO predictions, but assessing potential predictability on multi-annual timescales requires documentation of past low-frequency variability in the NAO. A recent bi-proxy NAO reconstruction spanning the past millennium suggested that long-lasting positive NAO conditions were established during medieval times, explaining the particularly warm conditions in Europe during this period; however, these conclusions are debated. Here, we present a yearly NAO reconstruction for the past millennium, based on an initial selection of 48 annually resolved proxy records distributed around the Atlantic Ocean and built through an ensemble of multivariate regressions. We validate the approach in six past-millennium climate simulations, and show that our reconstruction outperforms the bi-proxy index. The final reconstruction shows no persistent positive NAO during the medieval period, but suggests that positive phases were dominant during the thirteenth and fourteenth centuries. The reconstruction also reveals that a positive NAO emerges two years after strong volcanic eruptions, consistent with results obtained from models and satellite observations for the Mt Pinatubo eruption in the Philippines.