Root function plays a vital role in maintaining crop production. However, the role of deep roots in yield production and their effects on photosynthetic performance in sorghum remain unclear. This study aimed to provide theoretical supports for establishing highly efficient root systems of sorghum to achieve more yield under certain conditions. In this study, two sorghum (Sorghum bicolor L. Moench) cultivars, Jiza127 and Jiza305, were cultivated in soil columns as experimental materials. Three treatments (no roots removed, CK; roots removed at 30 cm underground, R30; roots removed at 60 cm underground, R60) were carried out under drought conditions during the filling stage. The root bleeding intensity, endogenous substances in the root bleeding sap, photosynthetic characteristics, dry matter accumulation, and yield were measured. The results showed that R30 and R60 significantly reduced yield in both sorghum cultivars, and the effect of R30 on yield was greater than that of R60. The contributions of roots below 30 cm to the yield of both sorghum hybrids were notably higher than those below 60 cm. R30 significantly reduced the dry matter weights (DMWs) of leaves, stems, sheaths, and panicles. R60 significantly reduced the DMW of panicles but had no significant effect on the DMWs of leaves and stems. R30 significantly reduced the photosynthetic level and PSII reaction center activity; however, the effect of R60 was not significant. Although both R30 and R60 significantly reduced root activity and the soluble sugar, amino acid, gibberellin (GA3), and abscisic acid (ABA) contents of the root bleeding sap, some of the above indicators in R60 were significantly higher than those in R30 during the filling stage, indicating that the deeper roots (below 30 cm) had a critical regulatory effect on the physiological processes of the aerial parts in sorghum, which resulted in a stronger effect on yield, especially under drought conditions. In brief, the deep roots of sorghum played a key role in yield production, but the roots in different soil depths regulated yield production in different ways. Our results indicate that deep roots of sorghum deserve consideration as a potential trait for yield improvement especially under drought conditions.