Frost heave is always observed in unsaturated coarse-grained soil subgrades of high-speed railways in cold and arid regions. However, these subgrades have very low water contents and are located above the groundwater table. Vapour transfer induces frost heave in unsaturated soils has attracted much attention. However, there is little direct evidence. In the present research, we conducted field monitoring of subgrade in cold regions. The results indicated that frost heave can occur in the unsaturated coarse-grained soil subgrade with a fine content of less than 5% in the absence of groundwater supply. The maximum frost heave is approximately 8 mm, and the frost depth is about 1 ~ 1.5 m. Moreover, the one-dimensional frost heave experiments on coarse-grained soil with vapour supply were conducted. The results demonstrated that the transfer and supply of vapour could increase the water content in the soil and induce frost heave. It also proved that vapour transfer could induce the frost heave in unsaturated coarse-grained soil subgrades in cold and arid regions.