Lipid biomarkers widely dotted in marine sediments, as their distribution characteristics accurately record huge information on the metabolism of the original organisms and migration and transformation of these organic components, are often used to reconstruct the paleoclimatic and paleoenvironmental conditions. This paper reviewed the progress in the study of paleoclimatic-environmental changes during the late Quaternary using abundant core lipids Glycerol Dialkyl Glyceryl Tetraethers (GDGTs) and long-chain alkyl diols in marginal sea sediments. It is pointed out that clarifying the “source-sink” process of lipid biomarkers buried in marine sediments is a prerequisite for paleoclimatic-environmental reconstruction. It is believed that the use of multiple indicators that are less affected by early diagenesis can increase the accuracy of reconstructing paleoclimatic changes. In the large-river dominated marginal seas, the mechanism of land-sea climate coupling evolution stimulated by the paleoclimatic-environmental changes can be elucidated based on paleoclimatic records reconstructed from core lipids GDGTs and long-chain alkyl diols in marine sediments. It is hoped that this paper can provide reliable technical means and a solid theoretical basis for predicting future temperature and rainfall changes.