In this paper, the ability of model outputs from the Intergovernmental Panel on Climate Change (IPCC) to describe the natural internal variability of precipitation observations is evaluated. The analysis is focused on the Iberian Peninsula for December–February (DJF). The study was performed with observed data from National Meteorological Institutes, reanalysis data from the National Centers for Environmental Prediction–National Center for Atmospheric Research, teleconnection indices, and model simulations. First, the seasonal cycle, mean winter pattern, and tendency for nine model simulations were evaluated. Then, four models were selected to obtain interannual variability and to diagnose the links between precipitation and large-scale circulation. This intercomparison is based on the modes obtained by the empirical orthogonal function (EOF) and spectral analyses to investigate the temporal properties of the most significant spatial patterns. The models well reproduce the observed seasonal cycle and the mean winter pattern; however, they poorly capture the interannual variability found in observed data. To ascertain the reasons for these results, features affecting the precipitation process are considered by analyzing the relationships with the dominant modes of large-scale atmospheric fields, such as sea level pressure, storm activity, jet stream, moisture flux, and teleconnection indices. The precipitation response to the mean flow suggests signs of potential seasonal predictability in DJF.