The interpretation and understanding of the relationship between Middle to Late Holocene climate change in monsoon margins of northwest China with the westerlies and Asian monsoon (AM) remain controversial. Here we present a new multi-proxy sedimentary dataset from the Heihe River basin in the middle part of the Hexi Corridor on the northern margin of the Qinghai-Tibet Plateau (QTP), which is a sensitive zone for the interaction between the westerlies and AM. Fluctuations in grain size, δ13Corg, δ18O, magnetic susceptibility, total organic carbon, total nitrogen, and C/N ratio document regional lake and climate evolution since 5334 cal yr BP. Results show that climate conditions on the millennial timescale are humid in the late Middle Holocene (MH) and dry to wet in the Late Holocene (LH). Combined with the multi-model ensemble simulation from PMIP3-CMIP5, high lake levels and wetter climate in the late MH are closely linked to the strengthening Asian summer monsoon. Simultaneously, the slight wetting trend since the late LH may be the superimposing effect of enhanced westerlies and the weakening Asian winter monsoon. These findings can provide insights into the interpretation of the interaction between the westerlies and AM during the Holocene in East Asia.