In southwest Western Australia, strong and persistent sea breezes are common between September and February. We hypothesized that on the inner continental shelf, in the absence of tidal forcing, the depth, magnitude, and lag times of the current speed and direction responses to sea breezes would vary though the water column as a function of the sea breeze intensity. To test this hypothesis, field data were used from four sites were that were in water depths of up to 13 m. Sites were located on the inner continental shelf and were on the open coast and in a semi-enclosed coastal embayment. The dominant spectral peak in currents at all sites indicated that the majority of the spectral energy contained in the currents was due to forcing by sea breezes. Currents were aligned with the local orientation of the shoreline. On a daily basis, the sea breezes resulted in increased current speeds and also changed the current directions through the water column. The correlation between wind–current speeds and directions with depth, and the lag time between the onset of the sea breeze and the response of currents, were dependent on the intensity of the sea breezes. A higher correlation between wind and current speeds occurred during strong sea breezes and was associated with shorter lag times for the response of the bottom currents. The lag times were validated with estimates of the vertical eddy viscosity. Solar heating caused the water column to stratify in summer and the sea breezes overcame this stratification. Sea breezes caused the mixed layer to deepen and the intensity of the stratification was correlated to the strength of the sea breezes. Weak sea breezes of <5 m s−1 were associated with the strongest thermal stratification of the water column, up to 1°C between the surface and bottom layers (6 and 10 m below the surface). In comparison, strong sea breezes of >14 m s−1 caused only slight thermal stratification up to 0.5°C. Apart from these effects on the vertical structure of water column, the sea breezes also influenced transport and mixing in the horizontal dimension. The sea breezes in southwest Western Australia rotated in an anticlockwise direction each day and this rotation was translated into the currents. This current rotation was more prominent in surface currents and in the coastal embayment compared to the open coast.