The variation of the Asian winter monsoonal strength has seriously affected the climate and environmental conditions in the Asian monsoonal region, and even in marginal islands and the ocean in the East Asian region. However, relevant understanding remains unclear due to the lack of suitable geological materials and effective proxies in the key study areas. Here, we present a grain-size record derived from the palaeo-aeolian sand dune in the southeastern Mu Us Desert, together with other proxies and OSL dating, which reflect a relatively detailed history of the winter monsoon and abrupt environmental events during the past 4.2 ka. Our grain-size standard deviation model indicated that >224 mu m content can be considered as an indicator of the intensity of Asian winter monsoon, and it shows declined around 4.2-2.1 ka, enhanced but unstable in 2.1-0.9 ka, and obviously stronger since then. In addition, several typical climate events were also documented, forced by the periodic variation of winter monsoonal intensity. These include the cold intervals of 4.2, 2.8, 1.4 ka, and the Little Ice Age (LIA), and relatively warm sub-phases around 3.0, 2.1, 1.8 ka, and the Medieval Warm Period (MWP), which were roughly accordant with the records of the aeolian materials, peat, stalagmites, ice cores, and sea sediments in various latitudes of the Northern Hemisphere. Combined with the previous progresses of the Asian summer monsoon, we preliminarily confirmed a millennial-scale anti-correlation of Asian winter and summer monsoons in the Late Holocene epoch. This study suggests that the evolution of the palaeo-aeolian sand dune has the potential for comprehending the history of Asian monsoon across the desert regions of the modern Asian monsoonal margin in northern China.