Landslides frequently occur in the loess-rich Yili region of Xinjiang, China, due to the combined effects of wetting-drying and freeze-thaw (WD-FT) cycles, which cause changes in the soil/loess internal structure and shear strength. This paper explores the combined effect of WD-FT cycles on the shear strength evolution of Yili loess through cyclic and triaxial shear tests. The micromechanism of the effect of WD-FT cycles on the loess properties is studied through scanning electron microscopy tests. Finally, the gray correlation analysis method assesses the correlation between relevant macro and micro parameters. The results show that: (1) With the increase in WD-FT cycles, the cohesion of loess decreases first and then gradually stabilizes, while the internal friction angle first grows and then drops before stabilizing. This indicates that the WD-FT cycles cause different degrees of decline in the soil’s internal friction angle and cohesion. (2) As the number of WD-FT cycles increases, the average abundance and directional probability entropy fluctuate slightly, gradually decreasing and stabilizing. In contrast, the particle size dimensionality gradually decreases and stabilizes, and the pore area ratio first increases and then gradually stabilizes. (3) Six microstructural parameters (average diameter, average abundance, particle size dimensionality, directional probability entropy, particle roundness, and pore area) are selected for correlation analysis with the shear strength index of loess. The results show that the particle size dimensionality closely correlates with macroscopic internal friction angle under coupled cycling, while the pore area closely correlates with macroscopic cohesion. These findings are instrumental in preventing and controlling loess landslides caused by WD-FT cycles in the Yili region of Xinjiang, China, and similar loess-rich regions.