To improve the construction safety of aeolian sand tunnels, construction simulation was carried out based on the Wangjiawan Tunnel of Menghua Railway to investigate the stability changes of surrounding rocks. Laboratory tests were conducted by using the soil taken from the site to obtain the physical and mechanical characteristics of the surrounding rock. Based on the discontinuity of sandy surrounding rocks, the discrete element software was adopted to simulate the construction process of aeolian sand tunnels with different relative compactness, and the dynamic changes of surrounding rock stress and the development of the loose zone were monitored and analyzed. Results show that the range of the advance displacement of the surrounding rock in front of the tunnel face was positively correlated with the relative compactness of the surrounding rock, and the disturbed range above the vault was negatively correlated with the relative compactness of the surrounding rock. Face failure was prone to occur in dense aeolian sand tunnels, and the risk of collapse in loose strata was high. The excavation of the aeolian sand tunnel mainly disturbed the surrounding rock within 2/3D-D in front of the face, around the tunnel, and within 0.5D-D above the tunnel. When the relative compactness was 0.5 and 0.7, the failure modes of the surrounding rock were basically the same as that adopted in “Code for design of railway tunnel (TB 10003—2016)”. When the relative compactness was 0.9, the form of surrounding rock instability was approximately ellipsoidal. The stability of the surrounding rock of the aeolian sand tunnel was closely related to its compactness. The tight combination of the meso-particles could effectively resist the external force, which shows the stability of the macrostructure. The stability of the stratum increased with the increase of the compactness.