Situated at the southernmost limits of the late Pleistocene Eurasian permafrost zone, the loess–paleosol sequences of the Lower Volga region contain numerous traces of cryogenesis. Cryogenic features are represented by thin vertical wedges in loess and paleosols, and involutions and wedges in alluvial deposits. Here we describe and interpret four stages of cryogenesis during the late Pleistocene, based on analysis of cryogenic structure morphology, morphoscopy of quartz grains, and micromorphology of subaerial sediments, in addition to calculation of the Cryogenic Weathering Index and a new luminescence chronology derived from published ages. These stages differ in type and distribution of cryostructures and formed in different paleogeographic conditions. Stage I, dated 95–90 ka (Marine Isotope Stage [MIS] 5b), is characterized by the existence of continuous permafrost in northern part of the Lower Volga valley. Stage II (75–70 ka, MIS 5a/MIS 4) is characterized by dry and cold conditions and widespread permafrost. During stage III (52–45 ka, MIS 3b/c), the permafrost was thin and of sporadic distribution. Stage IV (37–35 ka, MIS 3a) is characterized by thin and rare sporadic permafrost. The processes of cryogenic transformation of sediments in the region during these stages took place under both permafrost and seasonal frost conditions. The results obtained significantly improve current understanding of the extent of the permafrost in the south of the East European Plain during the late Pleistocene.