Drought is one of the major abiotic stresses restricting the yield of wheat (Triticum aestivum L.). Breeding wheat varieties with drought tolerance is an effective and durable way to fight against drought. Here we reported introduction of AtHDG11 into wheat via Agrobacterium-mediated transformation and analyzed the morphological and physiological characteristics of T2 generation transgenic lines under drought stress. With drought treatment for 30 days, transgenic plants showed significantly improved drought tolerance. Compared with controls, the transgenic lines displayed lower stomatal density, lower water loss rate, more proline accumulation and increased activities of catalase and superoxide dismutase. Without irrigation after booting stage, the photosynthetic parameters, such as net photosynthesis rate, water use efficiency and efficiency of excitation energy, were increased in transgenic lines, while transpiration rate was decreased. Moreover, the kernel yield of transgenic lines was also improved under drought condition. Taken together, our data demonstrate that AtHDG11 has great potential in genetic improvement of drought tolerance of wheat.