The problem of water infiltration and loess collapsibility are critical engineering issues in the loess region. Time Domain Reflectometry (TDR) technique is used to investigate the vertical infiltration law of water, and to evaluate the self-weight collapsible deformation of a large thickness loess ground during this field investigation. The change of volumetric water content (VWC) values caused by water infiltration, self-weight collapsible deformation and consolidation are measured by TDR moisture probes. Change-points of the temporal and spatial VWC curves are happen-points of self-weight collapsible deformation. Variation of change-points of VWC curves represented the collapsible sensitivity of loess. Different types of changing modes and different locations of change-points of VWC curves reflect the systematic water infiltration process. At different measuring depths, the pattern of time-dependent VWC curves can be divided into four typical categories. The test results point out that there is a clear and close relationship between VWC and collapsible deformation. It can be indirectly determined from VWC curves that if there is a happen of self-weight collapsible deformation or collapsible deformation. Along the vertical direction, water can’t unlimitedly infiltrate because of the presence of loess matric suction. There is a limit depth of water infiltration. The loess under the depth of 22.5m does not reach the saturation state, which suggests that the depth of 22.5m is the limit depth of water infiltration in this field investigation and in the meanwhile, it can be used as the critical ground improvement depth of loess.