Ultraluminous X‐ray sources (ULXs) are interesting systems as they can host intermediate‐mass black holes. Alternatively, ULXs can represent stellar mass black holes accreting at super‐Eddington rates. Recently, spectral curvature or breaks at energies above a few keV have been detected in high‐quality ULX spectra. These spectral features have been taken as evidence against the intermediate‐mass black hole case. In this paper, we report on a new XMM–Newton observation of the ULX Holmberg II X‐1 that also shows a clear spectral break at approximately 4 keV. This observation was performed during a low‐luminosity state of the system and by comparing these new data to a high‐luminosity state XMM–Newton observation, we can conclude that the spectral break energy increases with luminosity. This behaviour is different from a ULX in the Holmberg IX galaxy, where an opposite trend between the luminosity and the spectral break energy has been claimed. We discuss mechanisms that could explain this complex behaviour.