Rubidium (Rb) and strontium (Sr) contents and ratios were analyzed in 197 sediment samples collected from the CGS1 segment of the Chagelebulu Section in the Badain Jaran Desert of China to study millennial scale climate change during the Holocene. The results showed that the Rb and Sr contents and Rb/Sr ratios were low in the samples of dune sands and loess (Mz < 5.64 Phi), and those values were high in the samples of loess (Mz > 5.64 Phi) and paleosols, these data displayed 11 changing cycles in alternation of peaks and valleys in the chart. In addition, the Rb contents were positively correlated with Mz (mean particle diameter) and clay contents. While the correlations were weaker, Sr contents also showed a tendency to increase with increases in the Mz and clay contents. Based on a comprehensive analysis of the distribution of Rb and Sr within the CGS1 segment, it appears that the observed Rb and Sr contents and ratios varied in accordance with fluctuations of the East Asian winter and summer monsoons. In terms of timing and climate, low values (C1-C11) resulting from winter monsoons had a strong correlation with cold events in the North Atlantic: the period C1 corresponded to times ranging from 400 a to 1400 a and the periods C2, C3, C4, C7, C9, C10, and C11 corresponded to times of 3000 a, 4000 a, 5900 a, 8200 a, 9400 a, 10,300 a, and 11,000 a, respectively. The cold event C5 (6200 a) was also discovered in the North Atlantic in recent; and C6 (7100 a), C8 (8700 a) were discovered in some other places of China. These cold events indicated by Rb and Sr contents and ratios in the Chagelebulu Section of the Badain Jaran Desert recorded the regional response of global climate change during the Holocene.