The Loess Plateau (LP) is a typical climate-sensitive and ecologically delicate area in China. Clarifying the vegetation–climate interaction in the LP over 40+ years, particularly pre- and post-Grain to Green Program (GTGP) implementation, is crucial for addressing potential climate threats and achieving regional ecological sustainability. Utilizing the kernel Normalized Difference Vegetation Index (kNDVI) and key climatic variables (precipitation (PRE), air temperature (TEM), and solar radiation (SR)) between 1982 and 2022, we performed an extensive examination of vegetation patterns and their reaction to changes in climate using various statistical methods. Our findings highlight a considerable and widespread greening on the LP from 1982 to 2022, evidenced by a kNDVI slope of 0.0020 yr−1 (p < 0.001) and a 90.9% significantly increased greened area. The GTGP expedited this greening process, with the kNDVI slope increasing from 0.0009 yr−1 to 0.0036 yr−1 and the significantly greened area expanding from 39.1% to 84.0%. Over the past 40 years, the LP experienced significant warming (p < 0.001), slight humidification, and a marginal decrease in SR. Post-GTGP implementation, the warming rate decelerated, while PRE and SR growth rates slightly accelerated. Since the hurst index exceeded 0.5, most of the vegetated area of the LP is expected to be greening, warming, and humidification in the future. In the long term, 75% of the LP vegetated area significantly benefited from the increase in PRE, especially in relatively dry environments. In the LP, 61% of vegetated areas showed a positive correlation between kNDVI and TEM, while 4.9% exhibited a significant negative correlation, mainly in arid zones. SR promoted vegetation growth in 23% of the vegetated area, mostly in the eastern LP. The GTGP enhanced the sensitivity of vegetation to PRE, increasing the area corresponding to a significant positive correlation from 15.3% to 59.9%. Overall, PRE has emerged as the dominant climate driver for the vegetation dynamics of the LP, followed by TEM and SR. These insights contribute to a comprehensive understanding of the climate-impact-related vegetation response mechanisms, providing guidance for efforts toward regional sustainable ecological development amid the changing climate.