Knowledge of the climate of the Late Eocene is important for understanding the global climatic shift from a global Warmhouse to a Coolhouse. We obtained a climatic record for the interval of 38.10–36.33 Ma based on sedimentary facies analysis combined with measurements of color indices (CI) and magnetic susceptibility (MS) of the lower Huoshaogou Formation in the westernmost Hexi Corridor, Northeastern Tibetan Plateau. Our results reveal the following temporal sequence of sedimentary environments: delta plain, shore–shallow lake, deep lake, and braided river. The records of MS and CI co-vary with changes in sedimentary facies and color, respectively. The various proxy indicators indicate an overall warm and dry climate interrupted by a cold and wet interval in the middle part of the section during ~37.67–36.44 Ma, corresponding to a thick, greenish-colored lacustrine sedimentary layer with high values of lightness and low valuer of MS, frequency-dependent MS and redness. We suggest that this event was driven by the diversion of westerly winds due to the uplift of the southern Tibetan Plateau, together with the Tethys Sea retreat and the short-lived emergence or enhancement of the Asian monsoon.