Through the geochemical analysis of two hundred-meters cores KD4 and ZK3 from Laizhou Bay, in this study, we determined the distribution law and controlling factors of the geochemical elements. We analyzed 24 elements with respect to their R factors and major principal components, which were combined with the source discrimination functions DF Cr/Th and DF Ca/Al to obtain the sediment source index and its variation with depth for this area. A comparison of the changes in climate indicators suggests a clear correlation between the source and climate changes. The results show that the Yellow River and surrounding short-term rivers are the main sediment sources in this area. The PC3 of the KD4 core and PC2 of the ZK3 core ( e.g., CaO, MnO, SiO 2) exhibit significant variations and reflect the relative contributions of Yellow River sources. The deposition process can be divided into six stages: in Phase I (MIS 5c–MIS 5a), the Yellow River formed, and the composition of the Yellow River had a greater influence on the sedimentary composition of the study area. In Phase II (MIS 5a–MIS 3), the sediment sources of the Yellow River and the short-term streams in this area were wavering, with the sediments derived from short-term rivers playing a more important role. In Phase III (MIS 3), with a sharp drop in temperature, the study area was in the process of retreat, and the sediment source changed from the Yellow River to short-term rivers, after which the Yellow River source material remained the main sediment source for the region. A similar process occurred three more times in Phase IV (MIS 3–MIS 2), Phase V (MIS 2–MIS 1), and Phase VI (MIS 1). With changes in climate, especially during alternating sea-land phases, the sediment source varied in marine-terrestrial-marine phases, and the changes are observed as Yellow River source-surrounding provenance-Yellow River source. However, this process of change is not synchronized with the sea-land strata alternation.