Freeze-thaw cycles play a critical role in affecting ecosystem services in arid regions. Monitoring studies of soil temperature and moisture during a freeze-thaw process can generate data for research on the coupled movement of water, vapor, and heat during the freezing-thawing period which can, in turn, provide theoretical guidance for rational irrigation practices and ecological protection. In this study, the soil temperature and moisture changes in the deep vadose zone were observed by in-situ monitoring from November 2017 to March 2018 in the Mu Us Desert. The results showed that changes in soil temperatures and temperature gradients were largest in soil layers above the 100-cm depth, and variations decreased with soil depth. The relationship between soil temperature and unfrozen water content can be depicted well by both theoretical and empirical models. Due to gradients of the matric potential and temperature, soil water flowed from deeper soil layers towards the frozen soil, increasing the total water content at the freezing front. The vapor flux, which was affected mainly by temperature, showed diurnal variations in the shallow 20-cm soil layer, and its rate and variations decreased gradually with increasing soil depths. The freeze-thaw process can be divided into three stages: the initial freezing stage, the downward freezing stage, and the thawing stage. The upward vapor flux contributed to the formation of the frozen layer during the freezing process.