Plants of arid regions have adapted to harsh environments during the long span of their evolution and have developed a set of features necessary for their survival in water-limited conditions. Artemisia frigida Willd. (Asteraceae) is a widely distributed species possessing significant cenotic value in steppe ecosystems due to its high frequency and abundance. This study examines different patterns of formation of essential oil composition in A. frigida plants under the influence of heterogeneous factors, including climate and its integral characteristics (HTC, Cextr, SPEI and others). The work is based on the results of our research conducted in Russia (Republic of Buryatia, Irkutsk region), Mongolia, and China, from 1998 to 2021. A total of 32 constant compounds have been identified in the essential oil of A. frigida throughout its habitat range in Eurasia, from Kazakhstan to Qinghai Province, China. Among them, camphor, 1,8-cineol and bornyl acetate are the dominant components, contained in 93–95% of the samples. Among the sesquiterpenoids, germacrene D is the dominant component in 67% of the samples. The largest variability within the composition of the essential oils of A. frigida is associated with significant differences in the climatic parameters when plants grow in high-altitude and extrazonal conditions.