Loess is mostly distributed in an unsaturated state in nature, and the complexity of the engineering properties of unsaturated soil is mainly due to the existence of matric suction. Therefore, matric suction must be considered in investigating the mechanical properties of unsaturated loess. However, soils are most often subjected to three principal stresses with different magnitudes in practical engineering. For the sake of examining and discussing the mechanical behaviour of unsaturated natural loess under a complex stress path, a suction-controlled true triaxial apparatus with a rigid-flexible boundary is used to test unsaturated natural loess under a complicated stress path. Four trials of isotropic consolidation tests are conducted on natural loess under suction-controlled conditions via the true triaxial apparatus. The consolidation yield characteristics of the natural loess under different matric suctions are investigated. Forty-eight trials of consolidated drained true triaxial tests under suction-controlled conditions are conducted on unsaturated natural loess to examine and discuss the influence of the matric suction and intermediate principal stress parameter (b-value). The consolidated drained trials are performed under a constant net mean stress and a constant matric suction with different intermediate principal stress parameters (b-values). Stress-strain curves and failure envelopes of the natural loess are also presented. The results indicate that the stress-strain-strength response of unsaturated natural loess depends on the matric suction and intermediate principal stress parameter under true triaxial conditions.