The widely distributed Plio–Pleistocene aeolian dust deposits are one of the most important terrestrial archives of past climate and environmental changes. The alternation of loess and palaeosol layers is regarded as evidence of the cyclic nature of Pleistocene climate changes. The loess succession is underlain by aeolian red clay, which has been formed under warm–humid climates. According to the studies of red clay–loess–palaeosol sequences from China, Central Asia, Alaska, South America and Central Europe, the mineral dust deposition has shown similar patterns since the Pliocene. The typical loess of the last one million years reflects glacial–interglacial conditions, whereas the old loess–palaeosol sequences could be the product of shorter arid–humid climate cycles. The similarity of the sedimentary structures could be caused by the similar global climate conditions, controlled by orbital forcing. The investigated sections from Hungary (Central Europe) have been affected by local and regional geomorphological and climate factors. Even so, they can be correlated fairly well with the major global climate changes. The Hungarian aeolian dust deposits consist of three main groups of sedimentary formations: (1) Pliocene–Early Pleistocene aeolian red clays, (2) the oldest loess–palaeosol sequences, formed from the almost continuous Early Pleistocene dustfall, and (3) the typical, glacial–interglacial loess deposits of the last one million years, without remarkable dust deposition in the warmer periods.