Water, energy, and food, as the basic material resources of human production and life, play a prominent role in social and economic development. As the imbalance between the supply and demand of water, energy, and food increases, a highly sensitive and fragile relationship gradually forms among water, energy, and food. In this paper, Inner Mongolia in China is selected as a research area. Firstly, synergy theory is applied to establish the framework of a water–energy–food system. Then, a multi-objective programming model is constructed, where the objective functions are defined to minimize the integrated deviation degree and pollutant emissions of the water–energy–food system. Meanwhile, maximization of the water benefit, energy production, and food production is also considered. In addition, the model takes economy, environment, water, energy, and food as constraints. Finally, a genetic algorithm is designed for accurately assessing the most promising results. The results show that the cooperation degree of the water–energy–food system in Inner Mongolia is getting better and better, and the pollutant emission from the water–energy–food system is decreasing. In 2020, the proportion of agricultural water consumption fell by 1%, while that of industrial water consumption rose by 0.48%. The production of coal, natural gas, and power are all showing an increasing trend. Among them, the increase of natural gas production is as high as 38,947,730 tons of standard coal. However, the proportions of coal, natural gas, and power change inconsistently, where the proportions of coal and natural gas increase while that of power decreases. Corn production accounts for more than 80% of the total, which is in the eldest brother position in the food industry structure. Besides, there are differences between the planned values and optimal values of decision variables. Finally, suggestions are put forward to improve the sustainable development of water–energy–food in Inner Mongolia.