Desert steppe ecosystems are highly vulnerable to aeolian erosion due to frequent winds and grazing disturbance. However, the synergistic effects and multi-level linkages among climate change, vegetation, and wind erosion remain unclear. Based on a 20-year grazing experiment (2004-2023) and an 11-year aeolian erosion monitoring program (2013-2023), this study examined four stocking rates: non-grazing control (CK), light (LG), moderate (MG), and heavy grazing (HG). Aeolian sediment was collected using BSNE samplers, and vegetation and climate variables were monitored during growing seasons. Structural Equation Modeling (SEM) revealed a hierarchical response of aeolian sediment flux across interannual variation, stocking rate, and collection height. Two synergistic pathways were identified: "precipitation-* vegetation characteristics-* aeolian sediment flux" and "stocking rate-* vegetation characteristics-* aeolian sediment flux." Precipitation reduced sediment flux in wet years by improving vegetation; stocking rate altered vegetation and modulated sediment flux in normal years; grazing amplified wind erosion in dry years, making wind speed the dominant driver. In conclusion, wind erosion mechanisms in desert steppes vary dynamically with precipitation and grazing intensity. Grazing disturbance is not the sole cause of erosion but interacts with multi-level factors and annual climate conditions. Critically, grazing amplifies erosion during drought years, which may be a key driver of grassland degradation in arid regions.