Climate change is of great significance to vegetation coverage. However, the long time series of climatic factors and vegetation index is non-stationary and non-linear, containing different information in frequency and time scales. The study innovatively integrated Support Vector Machine (SVM) and Improved Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (ICEEMDAN), and analyzed the relationship between climatic factors and the Normalized Difference Vegetation Index (NDVI) at three-time scales in Loess Plateau (LP). The results indicate that: (1) The mode mixing phenomenon of EMD can be better solved by using ICEEMDAN, and the end effect can be mitigated by using SVM to expand both ends of the data before decomposition. (2) The residual NDVI stripped out using ICEEMDAN-SVM can represent the long-term trend of the original data. The results show that the NDVI and climate factors performed noticeable spatial and temporal differences under different climate zones. (3) The relationship between vegetation and climatic factors revealed obvious spatial heterogeneity at different time scales, and the climate change in the overall trend explained the vegetation change to the greatest extent, about 95%. The study has shown that temperature is a limiting factor affecting the growth of vegetation on the Loess Plateau. We propose ICEEMDAN-SVM to study the relationship between climate factors and vegetation indices at multiple timescales., revealing some hidden information in long time series and providing a new method to quantify the impact of climate change on vegetation dynamics.