For high-level geo-spatial applications and intelligent robotics, accurate global pose information is of crucial importance. Map-aided localization is a universal approach to overcome the limitations of global navigation satellite system (GNSS) in challenging environments. However, current solutions face challenges in terms of mapping flexibility, storage burden and re-localization performance. In this work, we present SF-Loc, a lightweight visual mapping and map-aided localization system, whose core idea is the map representation based on sparse frames with dense but compact depth, termed as visual structure frames. In the mapping phase, multi-sensor dense bundle adjustment (MS-DBA) is applied to construct geo-referenced visual structure frames. The local co-visbility is checked to keep the map sparsity and achieve incremental mapping. In the localization phase, coarse-to-fine vision-based localization is performed, in which multi-frame information and the map distribution are fully integrated. To be specific, the concept of spatially smoothed similarity (SSS) is proposed to overcome the place ambiguity, and pairwise frame matching is applied for efficient and robust pose estimation. Experimental results on the cross-season dataset verify the effectiveness of the system. In complex urban road scenarios, the map size is down to 3 MB per kilometer and stable decimeter-level re-localization can be achieved. The code will be made open-source soon (https://github.com/GREAT-WHU/SF-Loc).