Loess in seasonally frozen arid regions is highly sensitive to both freeze–thaw disturbance and subsequent wetting-induced collapse, yet the microstructural pathway by which freeze–thaw cycling modifies its collapsibility remains insufficiently quantified. In this study, Xinjiang loess was subjected to 0, 1, 3, 5, 7, and 10 freeze–thaw cycles, and its collapse behavior and microstructural evolution were investigated using collapsibility tests, particle-size analysis, scanning electron microscopy (SEM), Avizo-based quantitative pore analysis, and multivariate statistical methods. The results show that freeze–thaw cycling enhanced the collapsibility of the loess, with the collapsibility coefficient at 200 kPa increasing overall from 0.0809 in the untreated state to 0.115 after 10 cycles. This response was not strictly linear: limited changes occurred after 1–3 cycles, whereas a pronounced increase in collapsibility and microstructural deterioration appeared during 5–7 cycles, indicating a transition from local freeze–thaw disturbance to more extensive structural reorganization. Repeated freeze–thaw cycling promoted aggregate disintegration and particle refinement, as reflected by increased clay and silt contents and decreased sand content. However, the enhancement of collapsibility was more closely associated with pore-system reconstruction than with particle-size redistribution alone. Quantitative pore analysis showed that the total pore area ratio increased from 48.22% to 51.20% after 7 cycles and remained high after 10 cycles, while the macropore area ratio increased markedly from 6.75% to 20.01%, accompanied by reduced mesopore content and lower pore roundness. Pearson correlation analysis, PCA, and HCA consistently indicated that total pore area ratio and macropore area ratio were the pore-related parameters most strongly associated with the collapse response, whereas particle-size redistribution and pore-shape modification played secondary roles. These findings demonstrate that freeze–thaw-enhanced collapsibility in Xinjiang loess is controlled primarily by nonlinear pore-system opening and macropore development, providing a microstructure-based explanation for the destabilization of climate-sensitive continental near-surface materials under repeated freeze–thaw forcing.