The Shagou loess section recorded the evolution information of severe sandstorms in the Tengger Desert during the Last Interglacial (MIS 5). By analyzing the grain size data of the loess samples using the grain size class-standard deviation, we selected the grain size component between 209 and 550 μm to reconstruct the evolution history of the severe sandstorms in the Tengger Desert during the Last Interglacial. The results indicate that there were at least 12 periods of frequently occurring severe sandstorms in that location over this time period. There were two periods in each of S1SS1 and S1SS2, four periods in S1LL1, three periods in S1LL2 and one in S1LL4. The occurrence frequency and intensity of the severe sandstorms presented a characteristic increase from the early to the late period of the Last Interglacial. Combined with the calcium carbonate results, this evidence suggests that climatic change is closely related to sandstorms. A warm and wet climate could restrict the occurrence of severe sandstorms; conversely, a cold and dry climate easily induces severe sandstorms. Meanwhile, with a warm and dry climate background, the relationship between climatic change and the occurrence of sandstorms is quite complex: severe sandstorms are also able to occur in such a climate. A cold and dry climate, however, does not mean a certainty of severe sandstorms.