A high stocking rate can intensify wind erosion in grasslands, and strong wind can carry away soil surface particles, soil carbon (C), and nitrogen (N), which leads to soil barrenness. In this research, the dust flux, total carbon (TC) and total nitrogen (TN) contents, and fluxes of aeolian sediment were determined in the nongrowing season (mid‐October to mid‐April of the following year) and growing season (mid‐April to mid‐October) from 2017 to 2020 at a continuous grazing gradient experiment platform established in 2004 in a desert steppe in Inner Mongolia, China. The results were as follows: (1) As the stocking rate increased, fluxes of aeolian sediment at 10 cm (H10), 30 cm (H30), and 100 cm (H100) were greatly increased ( p < 0.05). Aeolian sediment fluxes followed the order control (CK) < light stocking rate (LG) < moderate stocking rate (MG) < heavy stocking rate (HG). (2) The TC and TN contents of aeolian sediment decreased with an increase in stocking rate, and higher grazing intensity resulted in a difference in TC content, which decreased between the two seasons. The TC flux/aeolian sediment flux increased with an increase in stocking rate, and the ratio of TC flux increased between two seasons due to the influence of heavy grazing. Grazing disturbance had little effect on TN flux. As grazing intensity increased, wind erosion resulted in an increase in soil available carbon loss, and this loss was more severe in the nongrowing season. (3) The C/N ratio increased with increase in aeolian sediment flux. The aeolian sediment flux and C/N showed an inverse relationship with the increase in grazing intensity. Regression lines for the two seasons showed an intersecting trend, and the intersection points moved backward as height increased, indicating that higher stocking rates could reduce the influence of grassland vegetation on C/N. As height increased, the regression intercept increased, indicating that the loss of wind‐eroded soil changed from a low C/N loss to a high C/N loss. In general, high stocking rates aggravated soil wind erosion, resulting in more C pool loss than N loss in terms of soil elements and more available C loss in the nongrowing season. In the nongrowing season, vegetation characteristics are poor, coupled with grazing interference, and wind erosion in the nongrowing season is serious in general; however, the change law of C and N in wind‐eroded soil is directly related to its particle size. C and N content in fine particles is higher, and C content in soil is much higher than N, so the TC loss is relatively large; therefore, reducing the intensity of grazing can reduce the occurrence of soil wind erosion, and implementing measures to protect grassland in spring and other periods vulnerable to wind erosion would be conducive to the sustainable usage of grassland resources.