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.