Climate extremes cause significant winter wheat yield loss and can cause much greater impacts than single extremes in isolation when multiple extremes occur simultaneously. Here we show that compound hot-dry-windy events (HDW) significantly increased in the U.S. Great Plains from 1982 to 2020. These HDW events were the most impactful drivers for wheat yield loss, accounting for a 4% yield reduction per 10 h of HDW during heading to maturity. Current HDW trends are associated with yield reduction rates of up to 0.09 t ha−1 per decade and HDW variations are atmospheric-bridged with the Pacific Decadal Oscillation. We quantify the “yield shock”, which is spatially distributed, with the losses in severely HDW-affected areas, presumably the same areas affected by the Dust Bowl of the 1930s. Our findings indicate that compound HDW, which traditional risk assessments overlooked, have significant implications for the U.S. winter wheat production and beyond.