A multi-wavelength Mie-scattering lidar is designed and established for detecting the aerosol profiles under different weather conditions. And inversion algorithm about multi-wavelength lidar signal is studied. The atmosphere observations are carried out in Xi'an city in the winter of 2013 by using the multi - wavelength lidar. The mixed-layer depth, aerosol particle size characteristics, and atmosphere extinction are studied and analyzed on haze, cloudy and sunny days. The mixed layer depth is lower on haze day and is just about 0.4 km, while it can reach 0.5-0.8 km on sunny day. The aerosol particle characteristics are discussed under different weather conditions by using two Ångström exponents, one for the short - wavelength range (355 nm/532 nm) and other for long-wavelength range (532 nm/1064 nm). The long-wavelength Ångström exponent is less than the short-wavelength Ångström exponent on haze day, and it is contrary on sunny day. The results show that there are more coase particles on pollution day. The Ångström exponents significantly decrease, and even become negative in the clouds, showing that cloud particles are relatively large.