In the ocean density depends on both salinity and temperature. Similarly, destabilizing buoyancy loss may result from either surface heat loss or fresh-water loss due to evaporation or ice-formation. The convective mixing which results approximately homogenizes density over the depth of the convectively modified layer. However, recent observations in the Labrador Sea reveal finite vertical gradients of temperature and salinity within the wintertime convective layer. We describe a series of direct numerical simulations of oceanic convection, designed to investigate the effects of convective mixing on the constituent tracer fields. We find that convective layers may have significant vertical gradients of temperature and salinity. These gradients have equal and opposite contributions to the density gradient (i.e. they are ``density compensated''), so density is approximately vertically homogeneous. The magnitude and sign of these density-compensated gradients depends on the initial temperature and salinity stratification, and on the ratio of heat to salinity fluxes at the ocean-atmosphere interface. Associated with the density-compensated gradients are density-compensated fluxes of heat and salt which reach a peak at the base of the convective layer, where buoyancy fluxes are small. These fluxes give rise to significant small-scale variability in temperature and salinity, with little corresponding variability in the density field. We briefly discuss the implications of our results for mixed layer models, most of which assume temperature and salinity are homogenized much like density