In order to explore the Neogene evolution of East Asian winter monsoon circulation, grain-size analysis was conducted on the Neogene Sikouzi section, Guyuan, Ningxia, China, a relatively monsoon-sensitive region. The results show that most of the particles are fine, the sand-bearing samples (median grain size [Md] >63 μm) are less than 6.4%, and that all the grain-size distribution curves of representative samples have a similar pattern to those of eolian dust sediments on the Chinese Loess Plateau. Rare earth element (REE) patterns of eight samples from the Sikouzi section are all characterized by light (L) REE enrichments, relatively flat heavy (H) REE patterns, and slight negative Eu anomalies, similar to those of loess and the average upper continental crust. These lines of evidence point to a windblown origin of the Sikouzi fine sediments. Based on previous studies, the 10–70 μm fraction of the Sikouzi sediments is mainly transported by the East Asian winter monsoon, and an increase in content of the 10–70 μm fraction reflects strengthening of the winter monsoon. In contrast, sand grains in samples of Md >63 μm are probably brought into the study area by rivers and streams linked with precipitation enhancement. According to stratigraphic variations in content of various fractions of the Sikouzi grain-size record, the Neogene evolution of the East Asian monsoon circulation can be divided into three stages. During the period 20.1–12.0 Ma, the 10–70 μm fraction holds the lowest values, whereas sand content usually shows high percentages, denoting a weak winter monsoon and a strong summer monsoon. After 12.0 Ma, the 10–70 μm fraction increased substantially and remained at high values, while sand content showed a marked decline, indicating that the winter monsoon strengthened dramatically and the summer monsoon declined significantly. From 4.3 to 0.07 Ma, the winter monsoon strengthened further, as evidenced by the gradual increase in content of the 10–70 μm fraction. This inference agrees well with the timing of glaciation development in the Northern Hemisphere. During the early to middle Miocene, the high values of both Md and sand content are mainly distribute in five intervals, 19.8–18.8 Ma, 18.0–17.5 Ma, 16.7–15.6 Ma, 14.3–13.7 Ma, and 13.0–12.0 Ma, corresponding to five periods of intense precipitation. The interval from 16.7 to 15.6 Ma is well correlated with the middle Miocene climatic optimum determined by the well-known Miocene Shanwang biota from eastern China. As for the other four periods, it is speculated that episodic growth of the East Antarctic Ice Sheet possibly shifted atmospheric fronts such as the Intertropical Convergence Zone (ITCZ) and thus carried water vapor further northward, leading to increases in regional precipitation on the northern midlatitude continent, including North China.