Coarse sediment of the Yellow River in the complex erosion area of the Pisha sandstone region of the Ordos Plateau is deposited on the downstream riverbed, posing a threat to the flood control safety of the river. The objectives of the present study were to analyze the mechanisms of combined erosion and sediment yield under the synergistic action of multiple dynamics, employing the indoor artificial rainfall-wind-freezing-thawing cycle solid model test to explore the temporal and spatial variation of the coarse sediment production and the transportation process. In this study, complex erosion indoor tests were carried out through the artificial rainfall-wind-freezing-thawing cycle solid model. The enrichment rate (ER), fractal dimension, and median diameter (d50) of soil particles were used to quantify the size distribution characteristics of sediment particles under different erosion dynamics. The coarse sediment was first transported in the process of soil erosion because of the special texture and terrain characteristics of Pisha sandstone soil. Moreover, the degree of heterogeneity of sediment under complex erosion was larger than that under water erosion. The effect of wind could aggravate the instability of the erosion dynamic system. Under the combined action of freezing-thawing, wind, and water, the particle size composition changed greatly, and the erosion energy was extremely unstable. The effect of complex erosion created conditions for the coarse sediment transportation. Under the freezing-thawing-wind-water combined action, the particle size of eroded sediment was the coarsest, and that of water erosion was the smallest. We concluded that the reason why the Pisha sandstone area has become the core area of the concentrated source of coarse sediment in the Yellow River is related not only to the special nature of the Pisha sandstone soil itself but also to the effect of complex erosion.