Periodic behavior in the climate system has important implications not only for weather prediction but also for understanding and interpreting the physical processes that drive climate variability. Here we demonstrate that the large-scale Southern Hemisphere atmospheric circulation exhibits marked periodicity on time scales of approximately 20 to 30 days. The periodicity is tied to the Southern Hemisphere baroclinic annular mode and emerges in hemispheric-scale averages of the eddy fluxes of heat, the eddy kinetic energy, and precipitation. Observational and theoretical analyses suggest that the oscillation results from feedbacks between the extratropical baroclinicity, the wave fluxes of heat, and radiative damping. The oscillation plays a potentially profound role in driving large-scale climate variability throughout much of the mid-latitude Southern Hemisphere.