The westerly circulation and the monsoon circulation are the two major atmospheric circulation systems affecting the middle latitudes of the Northern Hemisphere (NH), which have significant impacts on climate and environmental changes in the middle latitudes. However, until now, people’s understanding of the long-term paleoenvironmental changes in the westerly- and monsoon-controlled areas in China’s middle latitudes is not uniform, and the phase relationship between the two at different time scales is also controversial, especially the exception to the “dry gets drier, wet gets wetter” paradigm in global warming between the two. Based on the existing literature data published, integrated paleoenvironmental records, and comprehensive simulation results in recent years, this study systematically reviews the climate and environmental changes in the two major circulation regions in the mid-latitudes of China since the Middle Pleistocene, with a focus on exploring the phase relationship between the two systems at different time scales and its influencing mechanism. Through the reanalysis and comparative analysis of the existing data, we conclude that the interaction and relationship between the two circulation systems are relatively strong and close during the warm periods, but relatively weak during the cold periods. From the perspective of orbital, suborbital, and millennium time scales, the phase relationship between the westerly and Asian summer monsoon (ASM) circulations shows roughly in-phase, out-of-phase, and anti-phase transitions, respectively. There are significant differences between the impacts of the westerly and ASM circulations on the middle-latitude regions of northwest China, the Qinghai–Tibet Plateau, and eastern China. However, under the combined influence of varied environmental factors such as BHLSR (boreal high-latitude solar radiation), SST (sea surface temperature), AMOC (north Atlantic meridional overturning circulation), NHI (Northern Hemisphere ice volume), NAO (North Atlantic Oscillation), ITCZ (intertropical convergence zone), WPSH (western Pacific subtropical high), TIOA (tropical Indian Ocean anomaly), ENSO (El Niño/Southern Oscillation), CGT/SRP (global teleconnection/Silk Road pattern), etc., there is a complex and close coupling relationship between the two, and it is necessary to comprehensively consider their “multi-factor’s joint-action” mechanism and impact, while, in general, the dynamic mechanisms driving the changes of the westerly and ASM circulations are not the same at different time scales, such as orbital, suborbital, centennial to millennium, and decadal to interannual, which also leads to the formation of different types of phase relationships between the two at different time scales. Future studies need to focus on the impact of this “multi-factor linkage mechanism” and “multi-phase relationship” in distinguishing the interaction between the westerly and ASM circulation systems in terms of orbital, suborbital, millennium, and sub-millennium time scales.