Research on climate changes between the last interglacial period and Holocene renders a speculation on the tendency of present climate. Fully understanding the nature of the changes will play a significant role in a better understanding of global climate change. This work discussed the climate change of the last interglacial period and Holocene in Beijing area to discover the mechanism of local palaeo-climate change. The palaeo-vegetation of the last interglacial period in Xishan Mountain of Beijing was reconstructed by pollen analysis and thermo-luminescence dating to represent the change of palaeo-climate and palaeo-environment. Palaeo-vegetation indicators demonstrated that the climate change of the last interglacial period included 6 stages and was homologous to that reflected by the records from deep sea depositions and polar ice cores, respectively corresponding to Marine Isotope Stage (MIS) 5e, 5d, 5c, 5b, 5a and the interim from MIS5 to MIS4 from the early to the late. Millennial climate abrupt events occurred in MIS 5e, which had an agreement with the records of GRIP. In addition, a climate warming event appeared in the interim from MIS5 to MIS4 and it also was found in other regions of the world. Compared with the vegetation and environment indicators of Holocene in Beijing area, it was found that the vegetation, climate and environment of the last glacial period were better than those of Holocene. The climate abrupt events not only appeared in the last interglacial period and MIS 5e, but also occurred in Holocene, whose mechanism and pattern were analogical. After analyzing the records of millennial climate abrupt change events from this work, Ice Cores and others, it was concluded that climate was instability in the interglacial period.