Cohesion is a very important part of learning English. The Cohesion Theory of Halliday and Hasan is of great importance for people to acquire the knowledge of cohesion. This study is aimed at applying this Cohesion Theory in CET-4 listening comprehension which is an important test for Chinese college students. This study uses the test papers of CET-4 in June 2021 as examples to demonstrate that it is obvious that there are certain cohesive relations between the listening materials and the correct answers. It is also practicable to apply the Cohesion Theory in listening comprehension of CET-4. It mainly analyzes the cohesive devices applied in figuring out the correct choices by understanding the cohesive relations between the listening materials with the right answers. It demonstrated obviously that there exists the cohesive relations between the listening materials with the right answers in the test, and both the grammatical device and lexical device are often used interactively. The cohesive devices can serve as the important clues for students to make the right choices. The findings of this study suggest that the application of the Cohesion Theory in CET-4 listening comprehension is practicable and effective. It can not only help the students get good performance in the CET-4 tests, the same approach can also be used in other important tests.