SummaryPlant can acquire tolerance to environmental stresses via transcriptome reprogramming at transcriptional and alternative splicing (AS) levels. However, how AS coordinates with transcriptional regulation to contribute to abiotic stresses responses is still ambiguous. In this study, we performed genome‐wide analyses of AS responses to drought stress (DS), heat stress (HS) and their combination (HD) in wheat seedlings, and further compared them with transcriptional responses. In total, we found 200, 3576 and 4056 genes exhibiting significant AS pattern changes in response to DS, HS and HD, respectively, and combined drought and heat stress can induce specific AS compared with individual one. In addition, wheat homeologous genes exhibited differential AS responses under stress conditions that more AS events occurred on B subgenome than on A and D genomes. Comparison of genes regulated at AS and transcriptional levels showed that only 12% of DS‐induced AS genes were subjected to transcriptional regulation, whereas the proportion increased to ~40% under HS and HD. Functional enrichment analysis revealed that abiotic stress‐responsive pathways tended to be highly overrepresented among these overlapped genes under HS and HD. Thus, we proposed that transcriptional regulation may play a major role in response to DS, which coordinates with AS regulation to contribute to HS and HD tolerance in wheat.