The compression of unsaturated loess was explored with triaxial instrument for unsaturated soils. The test covered 3 different water contents of unsaturated loess and the saturated loess at initial confining pressures of 100 kPa, 200kPa and 400 kPa. The matric suction and volume change were obtained during virgin compression. Test results showed unsaturated loess have similar compression properties on the compression curve of saturated soil on the semi-logarithmic plane of average net stress, with yield points, which can be expressed by straight lines before and after yielding. With an increase of degree of saturation, compressibility gradually increases. The matric suction of unsaturated loess gradually decreases, and the variation is similar to that of volume. The parameters for the Modified Cambridge model were obtained to describe the compression of unsaturated soils.