Based on the investigation in the geologic structure at Dunhuang Mogao Gobi, and the inspection of the physical and chemical condition of the caves, associated with the weather data, the formation mechanism of the water cohesion in Gobi soil had been analyzed, and consequently, we did condensed water experiment by covering film. Results indicate that the rapid change of the wide range of daily temperature at the upper stratum of the gravel contributed to the formation of the condensed water. In addition, the water vapor from underground was adsorbed by salinity and soil particles, resulting in an enrichment of subterranean soil moisture in 10-40cm depth, and showing space-time heterogeneity by tempestuously fluctuation. The water formed by condensation and adsorption are all called by a joint name of the cohesion water in this paper. The cohesion is structure course of the water stored in some soil, closely correlated with the climate factors such as solar radiation, temperature and moisture. The temperature, salinity, moisture, gravel structure, coverage and subterranean heat flux within the layer with variable temperature have important effects on the water cohesion. The understanding of mechanism of the water cohesion has important practical application in environmental reconstruction and cultural relics preservation in arid area.