Wind-induced depressions in arid and semiarid regions are generally regarded as dust hotspots, and then play an important role in releasing dust into the atmosphere, which in turn exerts significant influences on climate change on a large scale. To unravel the mechanisms driving the formation of depressions, it is vital to ascertain the provenance of surface sediments around them. A well-preserved depression, with an opening area of approximately 579.81 km2, is located in the Gonghe Basin on the northeastern Qinghai-Tibetan Plateau. However, to date, the origin of this depression remains unclear. Here, we conducted a comprehensive investigation of various surface deposits in the study area, including alluvial fan deposits, loess, overbank deposits, lakeshore deposits, mobile dune sands, and the strata of the Gonghe Formation exposed in the depression. The multiple proxies of these samples, such as grain size, elemental composition, heavy minerals, and magnetic parameters, were measured. The results show that the heavy mineral assemblages of mobile dune sand and loess are similar to those of the Gonghe Formation, but significantly different from those of alluvial fan deposits. Although the heavy mineral and grain size composition of overbank sediments of the Shazhuyu River resemble those of mobile dune sands, this does not prove the overbank deposits as a source for dune sands. Instead, it is likely that aeolian sands are transported by winds to overbanks under such a semi-arid circumstance. Geochemical and magnetic proxies also reveal that aeolian sand and loess are fundamentally derived from the Gonghe Formation, rather than alluvial fans, overbanks, or lakeshore deposits. These results suggest that the strata of the Gonghe Formation have been transformed to dune sands and loess in an aeolian system, and that detrital input into the depression from the upper reach of the Shazhuyu River was limited. Furthermore, the geomorphic surface of the Second Tala (Tala = plain, in Mongolian) is flat and integrated, without any signs of fluvial incision. Collectively, we conclude that the depression was formed primarily by aeolian deflation, and the main body subjected to erosion is the Gonghe Formation.