There is an increasing interest in the relation between the solar activity and climate change. As for the solar activity, a fractal property of the sunspot number was studied by many works. In general, a fractal property was observed in the time series of dynamics of complex systems. The purposes of this study are to investigate the relations among the solar activity, total ozone, Quasi-Biennial Oscillation (QBO), the North Atlantic Oscillation (NAO), and El Niño-Southern Oscillation (ENSO) from a view of multi-fractality. To detect the changes of multifractality, we examined the multifractal analysis on the time series of the solar 10.7-cm radio flux (F10.7 flux), total ozone, QBO, NAO, and Niño3.4 indices. During the period 1950 and 2010, for the F10.7 flux and QBO index, the matching in monofractality or multifractality is observed and the increase and decrease of multifractality is similar; that is the change of multifractality is similar. In the same way, it is very similar, during the period 1985 and 2010, for the QBO and the total ozone, and during the period 1950 and 2010, for the QBO, and NAO and for the QBO, and Niño3.4. Compared to Niño3.4, the multifractality of NAO and QBO was strong and it turns out that they are undergoing unstable change. The relation among the solar activity, total ozone, QBO, NAO, and ENSO was clarified by the methods of fractal analysis and the wavelet coherence. These findings will contribute to the research of the relation between the solar activity and climate change.