Loess is unsaturated soil that occurs in various locations on the surface of the Earth, and it is most widespread in the Chinese Loess Plateau where it has caused many geotechnical problems and geohazards. To better understand the properties of unsaturated loess, it is helpful to examine its soil–water retention curve (SWRC). In this study, a volumetric pressure plate extractor was used to examine undisturbed, artificial, and remolded loess specimens to investigate the effects of the sampling site, structure disturbance, grain size, and salt solution on their SWRCs. To better analyze the changes in the SWRCs of the loess samples, we also determined their index properties, mineral compositions, specific surface areas (SSAs), cation exchange capacities (CECs), and scanning electron microscopy (SEM). The results showed that the factors that affected their SWRCs mainly were attributable to changes in the microstructure that resulted from differences in their physical natures, physical states, and salt solutions. Also, there has a close link between the macroscopic soil–water retention curves and the microscopic structure characteristics of the loess samples.