Based on eight sites climate data in Anhui province from 1955 to 2011, average temperature and precipitation indexes of the winter months (December, January, February), the summer months (July, August, September) and annual average value were studied by using R/S analysis methods. Result shows that the average temperature and winter precipitation increase, summer precipitation shows a trend of small gains, while the upward trend of annual precipitation is not obvious. All indicators of Hurst index in this study are greater than 0.5, which means that there is an obvious Hurst phenomenon, reflecting an existing trend component of climate change of Anhui province in recent 56 years. However, Hurst index has seasonal difference, bigger in summer than in winter, that summer climate effect is higher than winter. It shows that R/S analysis method is an effective method for analysis of climate change.