AbstractEastern Central Asia has an arid environment and experiences frequent dust storms. Modern observations indicate that the dust storm frequency in eastern Central Asia is modulated mainly by the intensity of the Siberian High (SH). However, a lack of knowledge about the process influencing the variation of the SH limits our ability to understand the genesis of dust storms and their predictions. In this study, we present data on heavy mineral assemblages and sediment grain size in a loess section in eastern Central Asia, spanning the last glacial. Combined with previously published results, we propose that the sorting coefficient in loess‐paleosol sequences is a more sensitive proxy for wind intensity—and thus for the intensity of the SH—than the commonly used proxies of the mean grain size and grain size fractions, which are also influenced by changes in dust source and vegetation cover. Our sorting coefficient series clearly reveals Heinrich events, as well as the prominent ∼5 kyr Bond cycle. Larger sorting coefficients correspond to more depleted Sanbao Cave stalagmite δ18O values, revealing an antiphase relationship between the intensity of the SH and the East Asian Summer Monsoon during the last glacial. The sorting coefficient series also support the significant influence of Arctic sea‐ice cover on the intensity of the SH.