The Glycerol Dialkyl Glycerol Tetraethers (GDGTs) occur ubiquitously in a wide range of environments, such as loess, peat, lake, soil, and ocean, which vary compositionally in response to environmental changes, and provide a series of biomarker proxies for paleoenvironmental reconstruction. This paper introduced the structures and biological sources of GDGTs, and reviewed the recent progresses of the application of the GDGTs proxies in the paleoenvironmental reconstruction of loess deposits. The main progresses include: ① The GDGTs proxies have been widely used in reconstructing the climate changes in loess deposits, and have established the temperature changes of last 800 ka for the Chinese Loess Plateau; ② Temperature variations in Chinese Loess Plateau displayed significant correlation with the Northern Hemisphere insolation, which may be also regulated by the surface vegetation conditions; and ③ In the Chinese Loess Plateau, the increase in monsoon precipitation during the last deglaciation significantly lagged behind the rise of temperature. However, problems still exist in the current studies. For instance, the GDGTs-based temperature is likely overestimated, probably reflecting the temperature of warm season, and relationships between GDGT indices and climate factors are still unclear. In the future, the development of new proxies and more accurate regional calibrations based on the separation of 6-methyl GDGTs are expected to provide more reliable paleoenvironmental information, and will provide essential evidence for the evolution of hydrothermal pattern and mechanisms behind climate changes in different regions.