The best times to visit Dunhuang are May and June or September and early October. Daytime temperatures are pleasant (20–30°C), the sand-dune light is at its best, and the gravel desert is at its most photogenic. July and August are uncomfortably hot — regularly 35°C and above in the shade, with no shade out at Yumen Pass — and also the peak season for domestic Chinese tourism, when ticket queues at Mogao stretch to several hours and hotels charge double.
Winter (November to March) is cold and clear: temperatures drop well below freezing at night, and many of the outlying desert sights become difficult to reach due to wind and snow. The Mogao Caves remain open year-round and winter visits are atmospheric — almost no crowds and the caves themselves are heated.
The two Chinese national holidays — the week-long Chinese New Year (late January or February) and the National Day Golden Week (1–7 October) — should be avoided unless you enjoy crowds.