The impacts of climate change on the grain yield, photosynthesis, and water conditions of winter wheat were assessed based on an experiment, in which wheat plants were subjected to ambient and elevated CO2 concentrations, ambient and elevated temperatures, and low and high water conditions independently and in combination. The CO2 enrichment alone had no effect on the photosynthesis of winter wheat, whereas higher temperature and drought significantly decreased the photosynthetic rate. Water conditions in flag leaves were not significantly changed at the elevated CO2 concentration or elevated temperature. However, drought stress decreased the relative water content in flag leaves, and the combination of elevated temperature and drought reduced the water potential in flag leaves. The combination of elevated CO2 concentration, elevated temperature, and drought significantly reduced the photosynthetic rate and water conditions, and led to a 41.4% decrease in grain yield. The elevated CO2 concentration alone increased the grain yield by 21.2%, whereas the elevated temperature decreased the grain yield by 12.3%. The grain yield was not affected by the combination of elevated CO2 concentration and temperature, but the grain yield was significantly decreased by the drought stress if combined with any of the climate scenarios applied in this study. These findings suggested that maintaining high soil water content might be a vital means of reducing the potential harm caused by the climate change.