With the development of desertification in the Qinghai-Tibet Plateau (QTP), aeolian sand becomes the remarkable local factor affecting the thermal state of permafrost along the Qinghai-Tibet Engineering Corridor (QTEC). In this study, a model experiment was conducted to analyze the impact of thickness and water content of aeolian sand on its thermal effect, and a hydro-thermo-vapor coupling model of frozen soil was carried out to reveal the heat transfer mechanism of the aeolian sand layer (ASL) with different thicknesses and its hydrothermal effect on permafrost. The results indicate that: (1) ASL with the thickness larger than 80 cm has the property of converting precipitation into soil water. The thicker the ASL, the more precipitation infiltrates and accumulates in the soil layer. (2) The cooling effect of ASL on permafrost results from the lower net surface radiation, causing the annual average surface heat flux shifting from heat inflow to heat outflow. The warming effect of ASL on permafrost results from the increasing convective heat accompanying the infiltrated precipitation. (3) As the ASL thickens, the thermal effect of ASL on permafrost gradually shifts from the cooling effect dominated by heat radiation and heat conduction to the warming effect dominated by precipitation infiltration and heat convection. The warming effect of thick ASL on permafrost requires a certain amount of years to manifest, and the critical thickness is suggested to be larger than 120 cm.