Knowledge of the sedimentary provenance and age of loess deposits can help reconstruct windblown dust activity in the source regions. However, we lack firm evidence to unravel the loess provenance on the offshore islands of China. In this study, we used geochemistry, micropaleontology, and optically stimulated luminescence dating to constrain the sedimentary provenance and age of the Shengshan Island loess on the continental shelf of the East China Sea (ECS). The sedimentary age of the Shengshan Island loess ranges from 75.9 ± 7.5 ka to 39.6 ± 3.4 ka, corresponding to low sea-level stands during the Last Glaciation. The zircon UPb age spectrum of the Shengshan Island loess reveals a 96 Ma age peak, attributed to a source from the nearby granites, while the remaining age components are contributed by the Yangtze River sediments. The element characteristics of size-fractioned samples indicate that the Shengshan Island loess originates from the Yangtze River sediments, the surrounding granites, and dust from the Asian interior. The presence of the spores of the freshwater alga Concentricystes supports the conclusion that the Yangtze River sediments are the major source of the Shengshan Island loess. Thus, the Shengshan Island loess is dominantly derived from proximal dust activity with a minor proportion of the fine fraction derived long-distance dust transport. The local dust emissions from the Yangtze River sediments are directly driven by low sea levels and an arid environment on the continental shelf of the ECS during the Last Glaciation. However, this dust activity was terminated during the transition from the Last Glacial to the Holocene when the sea level rose.