The loess accumulation processes in the Azov Sea region leaves a record of atmospheric circulation trends in southern Russia, which can be used to explore aeolian dynamics and atmospheric circulation evolution. However, the historical aeolian transportation and accumulation processes of the loess deposits in this region remain controversial, which limits our understanding of aeolian dust dynamics. In the present study, based on grain size analysis and scanning electron microscopy imaging, grain size end-member and microtextural characteristics of loess sediments in the Beglitsa section of the Sea of Azov were studied to reveal their sedimentary environments and processes. According to the results, the Beglitsa section exhibits typical characteristics of aeolian sediment. EM analysis revealed that the Sea of Azov loess is composed of materials from both distant and proximal sources transported by high-altitude westerly and mesoscale regional winds, respectively. Particle shape and morphology indicated that the Azov loess materials have experienced wind and flow action. The application of the two methods revealed that the formation of the Azov loess is a complex process from source to sink. It results from the combined effects of high-altitude westerly winds, low-altitude local wind systems, and near-surface air flow in the course of development, which is also influenced by sea-level rise and fall. The results of the present study lay a foundation for the interpretation of historical aeolian dynamics and environmental significance of the Azov loess.