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Abstract A high‐resolution ocean model is used to characterize the circulation and cross‐shelf exchanges in the Brazilian/Uruguayan portion of the southwestern Atlantic shelf. Cross‐shelf exchanges are strongly modulated by the bottom topography. There is ∼1.2 Sv of on‐shelf transport between 21°S and 25.2°S, and ∼1.6 Sv of off‐shelf transport between 35°S and 25.2°S. North of 25.2°S, the cross‐shelf exchanges show a two‐layer structure with an off‐shelf flow in the upper 50m and on‐shelf flow deep below. A Lagrangian diagnostic shows that ∼0.15 Sv of deep waters from the Brazil Current (z > 200 m) are injected into the shelf. Mixing with ambient waters produces a spicier (warmer and saltier) water mass, which is ejected into the open ocean in the southern region. Backward in‐time particle's trajectories analysis reveals that 95% of the southward shelf transport at 32°S originates in the open ocean at 22°S. Our model diagnostics show that there is a very limited connectivity between the shelf regions north and south of Cabo Frio. Correlation analysis shows no significant influence of El Niño Southern Oscillation (ENSO) and Southern Annular Mode (SAM) on the time variability of the cross‐shelf transport. Cross‐shelf transports, however, are significantly correlated with the local wind stress variability.