For mankind’s survival and development, water, energy, and food (WEF) are essential material guarantees. In China, however, the spatial distribution of WEF is seriously unbalanced and mismatched. Here, a collaborative governance mechanism that aims at nexus security needs to be urgently established. In this paper, the Yellow River Basin in China with a representative WEF system, was selected as a case. Firstly, a comprehensive framework for WEF coupling coordination was constructed, and the relationship and mechanism between them were analyzed theoretically. Then, we investigated the spatiotemporal characteristics and driving mechanisms of the coupling coordination degree (CCD) with a composite evaluation method, coupling coordination degree model, spatial statistical analysis, and multiscale geographic weighted regression. Finally, policy implications were discussed to promote the coordinated development of the WEF system. The results showed that: 1) WEF subsystems showed a significant imbalance of spatial pattern and diversity in temporal changes; 2) the CCD for the WEF system varied little and remained at moderate coordination. Areas with moderate coordination have increased, while areas with superior coordination and mild disorder have decreased. In addition, the spatial clustering phenomenon of the CCD was significant and showed obvious characteristics of polarization; and 3) the action of each factor is self-differentiated and regionally variable. For different factors, GDP per capita was of particular importance, which contributed most to the regional development’s coupling coordination. For different regions, GDP per capita, average yearly precipitation, population density, and urbanization rate exhibited differences in geographical gradients in an east-west direction. The conclusion can provide references for regional resource allocation and sustainable development by enhancing WEF system utilization efficiency.