As the “Third Pole” of the world, the Tibetan Plateau has important effects on climate of its surrounding areas and even the whole world. Many results have been achieved on climate change since the last inter-glacial period in recent decades from ice core, tree-ring and lake sediment records over the Tibetan Plateau. In this paper, we review these achievements, especially those in the special periods. During the last inter-glacial period, temperature went down rapidly and went up slowly. The temperature record of the last glacial period is consistent with Greenland ice core records, also having own features over the Tibetan Plateau. Younger Dryas event agrees with the records from Europe and Greenland. Generally speaking, it is warm in the Holocene, and temperature has been rising gradually in the last 2000 years and gone up rapidly in recent decades. Climate changes on different time scales on the Tibetan Plateau occurred earlier and the change amplitude is larger than those in other parts of China.