Sulphoaluminate cement and ordinary Portland cement were used to improve the frozen soil in order to ensure the stability of foundation and solve the problem of shortage of earthwork materials in permafrost area. In this study, the strength characteristics of the two types of cement were obtained by unconfined compressive strength tests at different dosages and different curing ages. The variation of free water, bound water, and constitution water were measured with the methods of centrifuge and freeze dryer in the process of cement improving frozen soil. The law of water transformation in the process of improving frozen soil was explored, and the relationship between constitution water, bound water, and the strength of improved frozen soil were established. Results show that the strength of the improved frozen soil treated with sulphoaluminate cement was obviously higher than that treated with ordinary Portland cement. Sulphoaluminate cement presented remarkable early strength characteristics. The water transformation rate of sulphoaluminate cement was faster than that of ordinary Portland cement in the early stage of curing, but the transformation amount of constitution water and bound water was low. The contribution of constitution water and bound water to the strength was more significant in sulphoaluminate cement improved frozen soil than in ordinary Portland cement. Sulphoaluminate cement is more suitable to improve frozen soil.