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Our understanding of climate and vegetation changes throughout the Holocene is hampered by representativeness in sedimentary archives. Potential biases such as production and preservation of the markers are identified by comparing these proxies with modern environments. It is important to conduct multi-proxy studies and robust calibrations on each terrestrial biome. These calibrations use large databases dominated by forest samples. Therefore, including data from steppe and desert–steppe sites becomes necessary to better calibrate arid environments. The Mongolian Plateau, ranging from the Baikal area to the Gobi desert, is especially characterized by low annual precipitation and continental annual air temperature. The characterization of the climate system of this area is crucial for the understanding of Holocene monsoon oscillations. This study focuses on the calibration of proxy–climate relationships for pollen and glycerol dialkyl glycerol tetraethers (GDGTs) by comparing large Eurasian calibrations with a set of 49 new surface samples (moss polster, soil and mud from temporary dry ponds). These calibrations are then cross-validated by an independent dataset of top-core samples and applied to four Late Holocene paleosequences (two brGDGT and two pollen records) surrounding the Mongolian Plateau: in the Altai mountains, the Baikal area and the Qaidam basin, to test the accuracy of local and global calibrations. We show that (1) preserved pollen assemblages are clearly imprinted on the extremities of the ecosystem range but mitigated and unclear on the ecotones; (2) for both proxies, inferred relationships depend on the geographical range covered by the calibration database as well as on the nature of samples; (3) even if local calibrations suffer from reduced amplitude of climatic parameters due to local homogeneity, they better reflect actual climate than the global ones by reducing the limits for saturation impact; (4) a bias in climatic reconstructions is induced by the over-parameterization of the models by the addition of artificial correlation; and (5) paleoclimate values reconstructed here are consistent with Mongolia–China Late Holocene climate trends and validate the application of local calibrations for both pollen and GDGTs (closest fit to actual values and realistic paleoclimate amplitude). We encourage the application of this surface calibration method to reconstruct paleoclimate and especially consolidate our understanding of the Holocene climate and environment variations in arid central Asia.