It is important to understand the hydroclimate history of water‐deficient regions, such as the Alxa desert of northwest China. However, there are few high‐resolution proxy records for the hydroclimate changes over the past centuries in the Alxa desert. Fortunately, there are many tree‐ring hydroclimate reconstructions from the nearby mountains. However, the hydroclimate correlations between the Alxa desert and adjacent mountains are unclear. Here, we collected high‐quality data from 43 meteorological stations in northwest China (1960–2017). We found increasing mean temperatures in the study area, both on seasonal and annual timescales. We also found that while relative humidity had mostly decreased in the Mt. Qilian and Alxa desert, precipitation and the standardized precipitation evapotranspiration index (SPEI) increased mostly. In the Mt. Helan and Hasi ranges, relative humidity, precipitation, and SPEI all showed decreasing trends. Empirical orthogonal function analysis indicated that precipitation, relative humidity, and SPEI in the Mt. Qilian were similar to the corresponding conditions in the central and western Alxa desert. Hydroclimate conditions in the Mt. Helan and Hasi ranges were correlated with data from the eastern desert. Tree‐ring records of precipitation and SPEI from the mountains were used to validate the hydroclimate correlations during the instrumental period. We found strong similarities between hydroclimatic changes in the Mt. Qilian and those in the central and western Alxa desert, on both annual and decadal timescales, from 1877 to 2006. Tree‐ring width chronologies from mountainous areas were shown to faithfully represent the hydroclimatic history of the desert area. Plain Language Summary: Northwestern China has faced serious ecological challenges over the past five decades, including intensified desertification and declining lake levels. Understanding the regional hydroclimate history is necessary to manage water resources in this water‐deficient region. However, there are few climate proxies for these desert areas. In contrast, high‐resolution tree‐ring climate proxies have been studied intensively in the nearby mountains. This study attempts to find reliable correlations between mountain and desert hydroclimate. We found increasing mean temperatures over the entire study area. We also found that precipitation, relative humidity, and drought index data from the western and central desert were strongly correlated with data from Mt. Qilian, while data from the eastern desert were correlated with those from the Helan and Hasi mountain ranges. When relative humidity decreased mostly in the Mt. Qilian, precipitation and SPEI mostly increased; in the Mt. Helan and Hasi areas, relative humidity, precipitation and SPEI mostly decreased. Tree‐ring records from the mountains were compared to validate these correlations. Significant correlations were found between the precipitation reconstructions from the central desert and Mt. Qilian from 1877 to 2006. We also used tree‐ring width chronologies to show that they could represent the hydroclimatic history of the Alxa desert. Key Points: Precipitation and SPEI indicate wetter trends in Mt. Qilian but drier trends in Mt. Helan and Hasi ranges from 1960 to 2017Precipitation, relative humidity, and SPEI in western and central (eastern) Alxa desert resemble conditions in Mt. Qilian (Helan and Hasi)Tree‐ring proxies from nearby mountains can faithfully represent the hydroclimate history of the Alxa desert [ABSTRACT FROM AUTHOR]