Aeolian sand and loess are both natural materials with poor engineering-related properties, and no research has been devoted to exploring aeolian sand–loess composite materials. In this study, we used aeolian sand and loess as the main raw materials to prepare unfired bricks by using the pressing method, along with cement, fly ash, and polypropylene fiber. The effects of different preparation conditions on the physical properties of the unfired bricks were investigated based on compressive strength, water absorption, and softening tests and a freeze–thaw cycle test combined with X-ray diffraction and scanning electron microscope analysis to determine the optimal mixing ratio for unfired bricks, and finally, the effects of fibers on the durability of the unfired bricks were investigated. The results reveal that the optimal mixing ratio of the masses of aeolian sand–loess –cement –fly ash–polypropylene fiber–alkali activator–water was 56.10:28.05:9.17:2.40:0.4:0.003:4.24 under a forming pressure of 20 MPa. The composite unfired bricks prepared had a compressive strength of 14.5 MPa at 14 d, with a rate of water absorption of 8.8%, coefficient of softening of 0.92, and rates of the losses of frozen strength and mass of 15.93% and 1.06%, respectively, where these satisfied the requirements of environmentally protective bricks with strength grades of MU10–MU15. During the curing process, silicate and sodium silicate gels tightly connected the particles of aeolian sand and the loess skeleton, and the spatial network formed by the addition of the fibers inhibited the deformation of soil and improved the strength of the unfired bricks.