The loess sequences in Tajikistan are an important archive of information about the development of climate and atmospheric circulation in central Asia during the Pleistocene. Here we present the results of an iron mineralogical study of a loess sequence in Tajikistan to reconstruct paleoclimate evolution during the mid‐Pleistocene and late Pleistocene. The record indicates that interglacial intervals were relatively humid and glacials were dry. We propose a shift in the character of the interglacial climate of the region to more humid after beginning of MIS 9; however, temperature was relatively stable. The location and intensity of Westerlies have a close link with Asian Summer Monsoon (ASM) circulations. From the beginning of MIS 9, there was a southward movement of the Westerlies circulation, which corresponded to a retreat of the Indian Summer Monsoon (ISM). A similar relationship also existed between the East Asian Summer Monsoon (EASM) circulation and the Westerlies, which is evidenced by the formation of the most weakly developed soil unit in the EASM‐dominated regions during MIS 9, in contrast with the formation of the most strongly developed soil unit in the Westerlies‐dominated regions. As conditions in the areas of loess deposition became more humid, the sedimentary basins which are the dust source areas became progressively more arid. The aridification of the source areas may be the result of increased Northern Hemisphere ice volume and accelerated high mountains and/or plateaus uplift in the surrounding regions. Key Points An iron mineralogical study of a loess sequence in Tajikistan to reconstruct paleoclimate evolution since mid‐Pleistocene The location and intense of Westerlies in central Asia correspondingly changed with Asian Summer Monsoon circulation on orbital scale The interglacial climate got humid in loess deposit area since MIS 9, but became progressively arid in its source area