Loess of central Asia is located in a linkage zone between the European and Chinese loess depositional belts. Paleoclimate signatures from loess-paleosol sequences here is a key for completely understanding the spatial-tempo paleoclimate changes of Euro-Asia and for understanding the interactions between westerlies and Asia monsoon system during geological time. However, paleoclimate investigations of loess-paleosol sequences in arid central Asia is relatively weak than those from Europe and Chinese Loess Plateau. Specific, correlations of paleoclimate records with Chinese loess is required for better understanding “westerly regimes” in central Asia and its phase relationship with monsoon Asia on various time scale. In this work, we reviewed new advantages of loess study in central Asia during the last decades. Based on the stratigraphic and paleoclimatic correlations of loess-paleosol sequences between central Asia and the Chinese Loess Plateau, we discussed aridification history of Asia on tectonic time scale, the hydroclimate changes in arid central Asia and its phase relationship with Monsoonal Asia on orbital and millennial time scale during the Pleistocene.