The wet gets wetter, dry gets drier paradigm explains the expected moistening of the extratropics and drying of the subtropics as the atmospheric moisture content increases with global warming. Here we show, using precipitation minus evaporation (P − E) data from climate models, that it cannot be extended to apply regionally to deviations from the zonal mean. Wet and dry zones shift substantially in response to shifts in the stationary‐eddy circulations that cause them. Additionally, atmospheric circulation changes lead to a smaller increase in the zonal variance of P − E than would be expected from atmospheric moistening alone. The P − E variance change can be split into dynamic and thermodynamic components through an analysis of the atmospheric moisture budget. This reveals that a weakening of stationary‐eddy circulations and changes in the zonal variation of transient‐eddy moisture fluxes moderate the strengthening of the zonally anomalous hydrological cycle with global warming.