Soil moisture is one of the core hydrological and climate variables that crucially influences water and energy budgets. The spatial resolution of available soil moisture products is generally coarser than 25 km, which limits their hydro-meteorological and eco-hydrological applications and the management of water resources at watershed and agricultural scales. A feasible solution to overcome these limitations is to downscale coarse soil moisture products with the support of higher-resolution spatial information. Although many auxiliary variables have been used for this purpose, few studies have analyzed their applicability and effectiveness in arid regions. To this end, we comprehensively evaluated four commonly used auxiliary variables, including NDVI (Normalized Difference Vegetation Index), LST (Land Surface Temperature), TVDI (Temperature Vegetation Dryness Index), and SEE (Soil Evaporative Efficiency), against ground-based soil moisture observations during the vegetation growing season in the Heihe River Basin, China. Performance metrics indicated that SEE is most sensitive (R2 ≥ 0.67) to soil moisture because it is controlled by soil evaporation limited by the available soil moisture. The similarity of spatial patterns also showed that SEE best captures soil moisture changes, with the STD (standard deviation) of the HD (Hausdorff Distance) less than 0.058 when compared with PLMR (Polarimetric L-band Multi-beam Radiometer) soil moisture products. In addition, soil moisture was mapped by RF (Random Forests) using both single auxiliary variables and 11 types of multiple auxiliary variable combinations. SEE was found to be the best auxiliary variable for scaling and mapping soil moisture with accuracy of 0.035 cm3/cm3. Among the multiple auxiliary variables, the combination of LST, NDVI, and SEE was found to best enhance the scaling and mapping accuracy of soil moisture with 0.034 cm3/cm3.