Large-scale field immersion test is an important means to evaluate the collapsibility of loess sites, which has been carried out in the natural temperature environment in the past. However, there are few precedents for conducting such tests in the cold environment in winter. Based on an ultra-high-voltage direct current transmission project, a large-scale on-site immersion test was carried out in a typical large-thickness self-weighted collapsible loess site, to demonstrate the feasibility of conducting such tests in winter, to explore the water diffusion law and collapsible characteristics during the immersion process, and thus to realize the scientific evaluation of the self-weighted collapsible deformation of loess sites in winter on-site immersion test. The results show that: The atmospheric temperature of the immersion test pit in the shed is raised by setting up a large heat preservation shed and boiler heating measures, which effectively solves the water surface freezing of the test pit immersion test in winter. The installation of water injection holes significantly altered the water diffusion paths in the pit, and the radial seepage from the injection holes and the enrichment of water near paleosoil stratigraphy, thereby resulting in a predominantly upward migration of water. The shallow surface settlement, deep settlement and horizontal displacement showed a trend of slow change, then steep change and then stabilization, with the surface settlement reaching 188.47 mm and the lower limit of self-weight wet subsidence reaching 16.50 m. It was also found that the difference between the measured and calculated values of the self-weight collapsible deformation was due to the arch effect of the paleosol layer. The research results can provide important technical basis for foundation treatment and pile foundation of UHV DC engineering, and also provide useful reference for other engineering construction in this area.