Aeolian sand is abundant and is widely distributed in western China and thus can reduce the project cost, alleviate the consumption of river sand resources, as well as protect the ecological environment in the application of concrete. Concrete structures, such as roads, bridges, and airport runways in northern cold regions, are exposed to the combined action of freeze–thaw cycle and fatigue load, and the damage mechanism is more serious and complex than that under a single factor. In the present study, the flexural fatigue behavior and damage evolution of aeolian sand concrete under freeze–thaw cycles are studied. Results show that freeze–thaw damage aggravates the flexural fatigue failure of concrete with aeolian sand, and the addition of aeolian sand enhances the average fatigue life of concrete after freeze–thaw cycle. The fatigue life of concrete that has aeolian sand content of 100% is improved more significantly than that of concrete with aeolian sand content of 50%. A double logarithmic fatigue equation is established for varying numbers of freeze–thaw cycles and different failure probabilities. Additionally, the course of flexural fatigue strain and fatigue modulus of aeolian sand concrete under freeze–thaw cycle action follows a typical three-stage development course. The effects of freezing and thawing action on fatigue behavior, such as fatigue strain growth, stiffness degradation, stress–strain relationship, and dissipated energy of 50% aeolian sand concrete (ASC50), are more significant, whereas the effects of 50 and 100 freeze–thaw cycles on the fatigue properties of 100% aeolian sand concrete (ASC100) are not evident. The research results are of great significance for the popularization and use of aeolian sand concrete in cold regions.