Unsaturated loessial Aeolian deposits tend to experience significant volumetric compression when subjected to loading. This behavior is generally attributed to their open, unstable soil fabric and their weak inter-particle bonding forces, which together yield a soil void structure that is susceptible to collapse. The current study examines two possible mechanisms of pore collapse in a loessial soil: pore collapse induced by an increase in net confining stresses under constant matric suction conditions, such as what occurs when a new structure is constructed on top of a collapsible soil deposit, and pore collapse induced by a change in matric suction conditions under a constant net confining stress, such as what occurs when a collapsible soil deposit beneath an existing structure experiences significant wetting due to a large precipitation event. To accomplish this task, an innovative test approach was used to assess the hydro-mechanical behavior of a highly collapsible loessial soil. The test setup incorporates a set of electronic pressure regulators coupled with three electronic pressure sensors to measure and control the applied pressures, and two high-precision digital volume change measuring devices to measure changes in the volume of the specimen and its degree of saturation. Using this approach, “undisturbed” loess specimens are subjected to either isotropic compression at a constant matric suction, or wetting-induced collapse at a constant mean net stress. Results indicate that the hydro-mechanical behavior of collapsible soils is considerably stress-path dependent. For the same values of mean net stress, the deformation measurements of specimens subjected to isotropic compression were often larger than those subjected to wetting-induced collapse. For the isotropic compression tests, it was shown that the soil water retention curve of the soil depends on the mean net stress. Less sensitivity to the mean net stress was observed for specimens subjected to wetting-induced collapse.