Ephemeral gully is widespread on the hilly Loess Plateau of China. A better understanding of the spatial variability in soil cohesion across the ephemeral gully will improve understanding of ephemeral gully erosion. However, quantitative research about the spatial heterogeneity of soil cohesion is quite few. The study was conducted to investigate and predict the spatial variation of soil cohesion in an ephemeral gully of hilly Loess Plateau by using classical linear regression and state-space methodologies. The results showed that soil cohesion had a moderate variation, and it was considerably influenced by elevation, clay content, sand content and bulk density. The autocorrelation functions for above-mentioned five variables were sufficient to identify their spatial representatives. The cross-correlation functions showed a strong spatial dependence between soil cohesion and elevation, clay content, sand content and bulk density. All the derived state-space models described the spatial variation of soil cohesion better than that of the equivalent linear regression models. The best state-space models based on clay content can explain 97.2% of the soil cohesion variation. Thus, state-space model was recommended as a useful tool to predict soil cohesion in ephemeral gullies of the hilly Loess Plateau. Furthermore, the result can provide valuable data base for setting up soil erosion model.