Loess is widely distributed in the seasonally frozen regions of China, and its particle composition, pore structure, and engineering properties exhibit significant regional zonation. Under freeze–thaw cycles, the internal pore structure of loess is continuously restructured, thereby affecting its water-holding capacity and the evolution of the soil-water characteristic curve (SWCC). To investigate the regional differences in the water-holding behavior of collapsible loess under freeze–thaw cycles, undisturbed sandy loess from Ningxia, silty loess from Shanxi, and clayey loess from Jingyang were selected. Considering different initial water contents and freeze–thaw cycle numbers, SWCCs were measured using a pressure plate apparatus and fitted with the Fredlund–Xing model. The results show that all SWCCs exhibit a typical S-shaped pattern, and the differences induced by freeze–thaw cycles are mainly concentrated in the main desaturation stage and the high-suction tail. Jingyang samples are the most sensitive to freeze–thaw action and show obvious staged restructuring; Ningxia samples exhibit pronounced moisture-content-dependent divergence; Shanxi samples change more gently overall. The fitted parameters a, b, and c all vary with freeze–thaw conditions, indicating that freeze–thaw cycles not only alter the air-entry-related feature, but also change the slope of the main desaturation section and the residual water-retention behavior in the high-suction range. Regional differences therefore control not only the initial water-holding capacity of loess, but also the restructuring path of its pore system under freeze–thaw disturbance. These findings provide an experimental basis for unsaturated seepage analysis, freeze–thaw degradation assessment, and water-induced hazard prevention in loess engineering in seasonally frozen regions.