To advance the utilization of dune sand, a sustainable albeit flawed resource, for structural engineering, the incorporation of graphene oxide (GO) is suggested as a potential means for improving durability of dune sand cementitious composites (DSCC). In this study, DSCC samples with varying GO concentrations were prepared. The effect of GO on the freeze–thaw resistance of DSCC was then studied by freeze–thaw cyclic test and mechanical test. In addition, to elucidate the mechanism underlying the observed enhancement in freeze–thaw resistance due to GO incorporation, thermogravimetric, mercury injection, adsorption, and morphological analyses were performed. The experimental results showed that incorporating GO into DSCC can enhance its freeze–thaw resistance without compromising its mechanical properties. The weight loss and relative dynamic modulus of elasticity of the specimen with 0.06 wt% GO decreased by 92.83% and 64.96%, respectively, as well as the compressive strength increased by 22.76% after 150 freeze–thaw cycles compared with the control specimen. The enhancing effect of adding GO on the freeze–thaw resistance of DSCC was found to be attributed to the promotion of hydration and the control of internal structure. Notably, the modification of GO on the smooth dune and the reinforcement of GO on the interface between dune sand particles and cement matrix was identified, which may be the new evidence for testifying the GO enhancement on the freeze–thaw resistance of dune sand cementitious composites.