Changes in terrestrial water storage anomalies (TWSA) are not only influenced by local climate conditions but also by teleconnection factors. To date, how teleconnection factors including sunspot activities could affect TWSA has been under-examined. In this study, we investigate the TWSA dynamics in the Yunnan Province (YP), China, and assess their relationships with teleconnection factors at multiple timescales. Results show that: (1) GRACE data is able to reflect TWSA dynamics in the study region, as demonstrated by its high correlations with soil moisture, precipitation, and groundwater anomalies; (2) GRACE-based TWSA shows a downward trend of varying degrees at the monthly, seasonal, annual and multi-year scales, with obvious periodic changes of 11 and around 60 months; (3) precipitation magnitude and its distribution characteristics in humid areas are the main driving factors of TWSA, and teleconnection factors have stronger association with precipitation-concentration degree (PCD) than precipitation magnitude; (4) the 2009 extreme drought has caused a sharp decrease in TWSA, and the correlations between TWSA with Arctic Oscillation (AO) and El-Niño Southern Oscillation (ENSO) were 0.88 (a = 0.01) and −0.58 (a = 0.01). This study sheds new insights into how teleconnection factors could TWSA dynamics in a changing environment.