Puccinia striiformis f. sp. tritici (Pst) is the causative agent of wheat stripe rust, which can lead to a significant loss in annual wheat yields. Therefore, there is an urgent need for a deeper comprehension of the basic mechanisms underlying Pst infection. Effectors are known as the agents that plant pathogens deliver into host tissues to promote infection, typically by interfering with plant physiology and biochemistry. Insights into effector activity can significantly aid the development of future strategies to generate disease-resistant crops. However, the functional analysis of Pst effectors is still in its infancy, which hinders our understanding of the molecular mechanisms of the interaction between Pst and wheat. In this review, we summarize the potential roles of validated and proposed Pst effectors during wheat infection, including proteinaceous effectors, non-coding RNAs (sRNA effectors), and secondary metabolites (SMs effectors). Further, we suggest specific countermeasures against Pst pathogenesis and future research directions, which may promote our understanding of Pst effector functions during wheat immunity attempts.