Abstract: Loess is a typical soil with collapsibility featured with strength reduction under wetting and disasters induced by disturbance. Recognizing the mechanism of loess collapse is urgent demand for solving geological disasters and engineering problems. This paper reviews the achievements related to collapsible mechanism in micro-level, and summarizes the research progress. The Malan loess in Yan’an New District is taken as an example, and the collapsible mechanism is analyzed and discussed. The results show that (1) loess microstructure feature can answer the question of “how loess collapse”, while components, properties and bonding modes of cementations as well as forces among particles can explain “why loess collapse”. (2) The pores larger than 23 μm provide main space for collapse of the Malan loess in Yan’an New District, and the hydration swelling of clay cementation is one of the main causes for particle movement and collapse. (3) However, research on collapse mechanism is still unclear, some collapse behavior cannot be fully explained. The research interests related to collapsible mechanism are also suggested in this study. It is considered that microstructure characterization in 3D space is the basis of loess microstructure research. Dynamic observation of microstructure with high resolution under loading and wetting, and detail investigation of the components and properties of cementations as well as the bonding modes, are effective ways to interpret “how loess collapse” and “why loess collapse”. (4) The database of various types of loess containing all micro information should be established to definite the influence of single factor on collapse behavior, via mathematical analysis and artificial intelligence. The theoretical model involving major factors should be simultaneously established to predict collapse behavior under different conditions. This work will be of great theoretical and practical significance to interpret loess collapse mechanism and establish quantitative relationship between micro factors and macro behaviors.