Data warehouse is not the simply data accumulation of operational database. For exerting the function of data warehouse, the construction of data warehouse should be convenient for the data mining and business intelligent work, supply information access, analyze, and share for decision maker. The key to constructing a successful data warehouse is to fully understand the demand of end users from beginning to the end, search and storage data surround users motive closely. This paper first analyzes the data warehouse characteristic and the sort of data component, emphasizes in effective data loading methods and strategies from operational database to data warehouse, gives five sorts data loading methods.