The advent of under-ice profiling float and biologging techniques has enabled year-round observation of the Southern Ocean and its Antarctic margin. These under-ice data are often overlooked in widely used oceanographic datasets, despite their importance in understanding seasonality and its role in sea ice changes, water mass formation, and glacial melt. We develop a monthly climatology of the Southern Ocean (south of 40°S and above 2,000 m) using Data Interpolating Variational Analysis, which excels in multi-dimensional interpolation and consistent handling of topography and horizontal advection. The climatology successfully captures thermohaline variability under sea ice, previously hard to obtain, and outperforms other observation-based products and state estimate simulations in data fidelity, with smaller root-mean-square errors and biases. To demonstrate its multi-purpose capability, we present a qualitative description of the seasonal variation, including 1) the surface mixed layer, 2) the water mass volume census, 3) the Antarctic Slope Front, and 4) shelf bottom waters. Particularly, the circumpolar variation in the extent of dense shelf water and the annual volume overturning rate of water masses are revealed for the first time. The present work offers a new monthly climatology of the Southern Ocean and the Antarctic margin, which will be instrumental in investigating the seasonality and improving ocean models, thereby making valuable winter observations more accessible. We further highlight the quantitative significance of under-ice data in reproducing ocean conditions, advocating for their increased use to achieve a better Southern Ocean observing system.