The stability and performance of loess infrastructure in cold regions are often challenged by seasonal freezing-thawing action. The action of the foundation loess is a complex thermo-hydro-mechanical coupling process, and it is crucial to understand this process for the loess infrastructure in cold regions. A series of controlled tests were conducted to observe the changes in temperature, moisture, and frost heave variations within loess samples under freezing-thawing, and the influences of cycle period, freezing-thawing amplitude, and cycle number on the thermo-hydro-mechanical behavior of loess were investigated. The results reveal that freeze-thaw cycles significantly affect the heat transfer, water migration, and deformation of the loess. The temperatures of sample at different heights periodically vary under freezing-thawing. Water is absorbed to the samples, which undergoes a rapid water intake stage, a water drained stage, and a slow water intake stage under freezing-thawing, resulting in moisture redistribution in loess. Loess undergoes frost heave, thaw settlement, and consolidation processes during freezing-thawing, and a slight wetting collapse may occur after several freezing-thawing cycles. Within the same cycle, frost heave is the largest while consolidation deformation is the smallest. Frost heave and consolidation deformation reach their maximum values at the second cycle, whereas thaw settlement reaches its maximum value during the second or third cycle. Each stage deformation increases with an extended cycle period and almost decreases as the freezing-thawing amplitude increases. Freeze-thaw cycles can induce wetting collapse of loess, resulting in negative residual deformation. Furthermore, the thermo-hydro-mechanical coupling process and the deformation mechanism of loess have been elucidated. These insights contribute to a more comprehensive understanding of the failure mechanisms in loess engineering in cold regions.