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The debated question on the possible relation between the Earth's magnetic field and climate has been usually focused on direct correlations between different time series representing both systems. However, the physical mechanism able to potentially explain this connection is still an open issue. Finding hints about how this connection could work would suppose an important advance in the search of an adequate physical mechanism. Here, we propose an innovative information-theoretic tool, i.e. the transfer entropy, as a good candidate for this scope because is able to determine, not simply the possible existence of a connection, but even the direction in which the link is produced. We have applied this new methodology to two real time series, the South Atlantic Anomaly (SAA) area extent at the Earth's surface (representing the geomagnetic field system) and the Global Sea Level (GSL) rise (for the climate system) for the last 300 years, to measure the possible information flow and sense between them. This connection was previously suggested considering only the long-term trend while now we study this possibility also in shorter scales. The new results seem to support this hypothesis, with more information transferred from the SAA to the GSL time series, with about 90% of confidence level. This result provides new clues on the existence of a link between the geomagnetic field and the Earth's climate in the past and on the physical mechanism involved because, thanks to the application of the transfer entropy, we have determined that the sense of the connection seems to go from the system that produces geomagnetic field to the climate system. Of course, the connection does not mean that the geomagnetic field is fully responsible for the climate changes, rather that it is an important driving component to the variations of the climate., Competing Interests: The commercial funder Serco SpA provided support in the form of salaries for author EQ, but did not have any additional role in the study design, data collection and analysis, decision to publish, or preparation of the manuscript. This does not alter our adherence to PLOS ONE policies on sharing data and materials.