Understanding the mechanisms of past climate changes requires modelling of the complex interaction between all major components of the Earth system: atmosphere, ocean, cryosphere, lithosphere and biosphere. This paper reviews attempts at such an integrative approach to modelling climate changes during the glacial age. In particular, the roles of different factors in shaping glacial climate are compared based on the results of simulations with an Earth-system model of intermediate complexity, CLIMBER-2. It is shown that ice sheets, changes in atmospheric compositions, vegetation cover, and reorganization of the ocean thermohaline circulation play important roles in glacial climate changes. Another example of this approach is the modelling of two major types of abrupt glacial climate changes: Dansgaard-Oeschger and Heinrich events. Our results corroborate some of the early proposed mechanisms, which relate abrupt climate changes to the internal instability of the ocean thermohaline circulation and ice sheets. At the same time, it is shown that realistic representation of the temporal evolution of the palaeoclimatic background is crucial to simulate observed features of the glacial abrupt climate changes.