Abstract Recent progress both in studies of Chinese loess and deep-sea sediments have provided robust and longer records of winter monsoon variation and ice volume change back to the Late Miocene. However, when and how the winter monsoon became coupled with global ice volume change remains uncertain. Here we compare quartz grain size (a reliable winter monsoon proxy) generated from two loess-palaeosol and red clay sequences with a stacked benthic δ 18 O record (a global ice volume proxy). Our results indicate that at longer (>500 ka) timescales, the winter monsoon became strongly coupled with global ice volume change at 2.1 Ma, while at orbital timescales the winter monsoon variations started to be influenced by global ice volume change at c . 3.3 Ma. Correlation coefficients between these two records further indicate that winter monsoon intensity was strongly coupled with global ice volume change during intervals of 0–1.1 Ma, 1.4–1.8 Ma, and 2–2.85 Ma. In spite of these close connections amplitude mismatches between these two records are evident in terms of both long-term trend and glacial–interglacial fluctuations, suggesting that additional processes might have played a role in modulating the response of the winter monsoon variation to ice volume forcing.