The heat transfer characteristics of porous rock layers (PRLs) have significant seasonal differences. This feature has been used to protect the permafrost subgrade under highways and railways from degeneration. However, in cold sandy environments, the transformation law of heat transfer characteristics of PRLs on account of climate warming and aeolian sand filling needs to be solved. This work developed a coupled heat transfer model for the soil–PRL system aimed at analyzing the convective heat transfer process and mechanism of a closed PRL. Furthermore, the impact of climate warming and sand filling on the cooling performance of the PRL under different mean annual air temperatures (MAATs) of −3.5, −4.5, and −5.5 °C was quantified. The numerical results indicated that the natural convection of the closed PRL occurred only in winter, and the effective convective height of the rock layer decreased with the sand-filling thickness. As the thickness of sand filling increased, the critical temperature difference for the occurrence of natural convection increased, accompanied by decreases in the Rayleigh number, the duration, and intensity of natural convection. When the sand-filling thickness exceeded 80 cm, natural convection would not occur in the PRL. Under a warming scenario of 0.052 °C·a−1, the cooling performance of the PRL could offset the adverse impact of climate warming and raise the permafrost table in the first 20 years. Moreover, the closed PRL can be more effective in permafrost regions with colder MAATs. For cold sandy permafrost zones, sand-control measures should be taken to maintain the long-term cooling performance of the PRL. This study is of great significance in guiding porous rock embankment design and road maintenance along the Qinghai–Tibetan Railway.