In order to examine high-frequency variations of East Asian winter monsoon in Quaternary climatic extremes, two typical loess–paleosol sequences in the Chinese Loess Plateau were investigated. Sandy layers in the loess deposits, the “Upper sand” and “Lower sand” (layers L9 and L15, respectively), which represent a high-resolution record of paleomonsoon changes, have been sampled at intervals of 5–6 cm from sections at Luochuan and Xifeng. The grain size and magnetic susceptibility was measured for all samples. The grain-size results (a proxy of winter monsoon strength) indicate that the winter monsoon strength fluctuated on a millennial timescale during cold climatic extremes, with climatic events of a few hundred to a few thousand years. However, the winter monsoon was relatively stable during warm periods. The magnetic susceptibility signal (a proxy of summer monsoon intensity) is practically constant over the same period. This is tentatively explained by the assumption that the summer monsoon intensity was too low to be recorded in the magnetic susceptibility signal. The intensified winter monsoon events show periodicities in a range of 1000 to 2770 yr, with a dominant cycle of approximately 1450 yr. The detection of this oscillation in older glacial stages strongly suggests that it may be a pervasive cycle of the cold climatic phases of the Quaternary. Millennial-scale variations of the winter monsoon may be caused by instability of the westerly jet, which is determined by temperature differences between the polar and the equatorial regions.