The KLD segment of the Kenweiyuan section in Wenchang, Hainan, China is a set of aeolian sand deposits of the Last Deglaciation. The chemical element and heavy mineral analysis performed in this study reveals the chemical index of alteration (CIA) in the segment to be as high as 93–95, with all the heavy minerals identified as stable and extremely stable making up 38–45% of the total. Furthermore, the zircon, tourmaline, and rutile content (ZTR index) of the segment is determined to range between 48–71. The (Al2O3 + TOFE)/SiO2 ratios display obvious fluctuations from old to new strata in the segment, with the low values corresponding to Heinrich event (H1), Dansgaard-Oeschager (D-O), and Younger Dryas (YD) and the high values corresponding to Bølling and Allerød. Our study suggests that these fluctuations are attributed to the alternation of the East Asian winter and summer monsoons. Hainan Island is also impacted by the surface ocean climate of the South China Sea, and characteristics of the KLD segment may be connected to the climate changes in the North Atlantic related to the winter monsoon season or westerlies. Furthermore, the segment presents a clear response to millennium-scale climate changes during the Last Deglaciation on Hainan Island. Based on the high CIA values in the KLD segment, and particularly due to the observed stable detrital minerals, the ratios can be linked to the overall tropical climate, indicating a relatively warm tropical climate environment in the Last Deglaciation in Hainan. The high CIA values also reveal the cause of aeolian sand formation under the tropical environmental conditions in the low latitude region of China in the Late Quaternary.