Soil moisture (SM) plays a key role in hydrological processes and the distribution and growth status of vegetation in arid and semi-arid regions. An understanding of SM dynamics can help to better explain runoff and soil erosion processes, enable vegetation restoration, and improve water resources management. This study investigated SM changes under different land cover types on hillslopes using fine-scale (every 10 cm and every hour) SM monitoring data at Dun Mountain in the semi-arid Loess Plateau. It was found that the SM of each soil layer generally followed the order of bare land > grassland > forest-land. The mean annual SM of grassland and forestland was 71.8 and 65.4% of that of bare land, respectively. The SM of bare land generally displayed an increasing trend with depth. The SM of grassland and forestland generally increased first and then decreased with increasing depth. The mean SM of all three land cover types in different soil layers was largest in autumn. In grassland and forestland, there was a higher soil water replenishment (653.02 and 608.39 mm) and consumption (576.77 and 555.70 mm) than the corresponding values for bare land during the four seasons. The amount of soil water replenished in grassland and forestland in summer was 1.32 and 1.21 times that of bare land, respectively. The cumulative amounts of frozen soil water in bare land, grassland, and forestland were 495.98, 334.78, and 213.15 mm, respectively. The SM distribution among the different soil layers exhibited a strong temporal stability. The effect of meteorological factors on actual evapotranspiration displayed significant seasonal differences. In conclusion, vegetation cover reduced the SM at the slope scale, but the reduction was discontinuous at the annual scale. The results contribute to clarify the seasonal difference in actual evapotranspiration and provide new insights into soil moisture retention and freeze–thaw process in arid region.