The presence of a persistent surface anticyclone centered at approximately 55°N, 12°W in the Rockall Trough, northeast North Atlantic, has been previously noted in satellite altimetry data. Here, we show that this surface anticyclone is the imprint of a deep, persistent, non-stationary anticyclonic vortex. Using wintertime 2007 and 2011 ship-board data, we describe the anticyclone's vertical structure for the first time and find that the anticyclone core is partly made of warm and salty Mediterranean Overflow Water. The anticyclone has a radius of ~40 km, it stretches down to 2,000 m, with a velocity maximum around 500 m. To analyze the anticyclone's generating mechanism, we use a mesoscale-resolving (~2 km) simulation, which produces a realistic pattern of the Rockall Trough anticyclone. The simulation indicates that the anticyclone is locally formed and sustained by two types of processes: wintertime convection and merger with anticyclonic vortices shed from the slope current flowing poleward along the eastern Rockall Trough slope. Intense negative vorticity filaments are generated along the Rockall Trough south-eastern slope, and they encapsulate Mediterranean Overflow Water as they detach and grow into anticyclonic vortices. These Mediterranean Overflow Water-rich vortices are advected into the trough, consequently merging with the Rockall Trough anticyclone and sustaining it. We suggest that the Rockall Trough anticyclone impacts regional intermediate water masses modifications, heat and salt budgets locally, and further afield into the neighboring subpolar northeast North Atlantic.