Data set from borehole PRGL1-4 (PROMESS EC-project) and sediment core MD99-2348 (IMAGES) from the upper slope of the Gulf of Lion continental margin, north-western Mediterranean Sea. It includes age model, sedimentation rates, Globigerina bulloides δ18O, grain-size and XRF-Ca records for the whole sequence. The integrated records of both sediment sequences allowed to investigate the effects of orbitally-driven glacioeustatic sea-level oscillations on the margin outbuilding during the last 5 glacial cycles (500 kyr). The high-resolution grain-size record from borehole PRGL1-4 allowed also to illustrate the imprint of sea-level oscillations at millennial time-scale, as shown for Marine Isotopic Stage 3, thus presentig the first evidence for a one-to-one coupling of millennial time-scale sealevel oscillations associated with each Dansgaard-Oeschger cycle.