Malan loess is widely distributed on the Chinese Loess Plateau and poses great challenges to geotechnical, ecological, and agricultural practices due to its unique structure and collapsibility. It is essential to understand the evolution of these properties with depth to assess soil stability and reduce engineering risks in the area. This study investigates the mechanical properties and microstructural evolution of Malan loess with depth and employs multivariate statistical methods to explore their complex interrelationships. Oedometer-collapse tests reveal a 94.2 % reduction in collapsibility coefficient (delta s) from 0.0722 at 1 m to 0.0042 at 9 m, indicating a significant reduction in collapsibility with increasing depth. According to the results of the direct shear test, it showed that the shear strength initially decreases and then increases due to the combined effect of the water content and dry density. Scanning electron microscopy (SEM) images reveal the densification of the loess structure, with changes in particle contact from point to face contact and the evolution from macropores to mesopores and small pores as depth increases. Quantitative analysis by Avzio showed a decrease of 61.5 % in macropores area and an increase of 62.5 % in small pores area. The results obtained by Pearson's correlation analysis and random forest model showed that among these microstructural characteristics, the total pore area (%IncMSE = 22.77 %) is the most important factor influencing the collapsibility properties of loess and water content (%IncMSE = 17.72 %) acts a key role in controlling shear strength. Additionally, compared to traditional methods, the random forest model offers a more insightful understanding of nonlinear relationships and multifactorial coupling effects. These findings provide scientific guidance for geotechnical engineering in loess regions, aiding in risk mitigation and promoting sustainable construction.