The possible influence of global climate changes on agricultural production is becoming increasingly significant, necessitating greater attention to improving agricultural production in response to temperature rises and precipitation variability. As one of the main winter wheat-producing areas in China, the temporal and spatial distribution characteristics of precipitation, accumulated temperature, and actual yield and climatic yield of winter wheat during the growing period in Shanxi Province were analysed in detail. With the utilisation of daily meteorological data collected from 12 meteorological stations in Shanxi Province in 1964–2018, our study analysed the change in winter wheat yield with climate change using GIS combined with wavelet analysis. The results show the following: (1) Accumulated temperature and precipitation are the two most important limiting factors among the main physical factors that impact yield. Based on the analysis of the ArcGIS geographical detector, the correlation between the actual yield of winter wheat and the precipitation during the growth period was the highest, reaching 0.469, and the meteorological yield and accumulated temperature during this period also reached its peak value of 0.376. (2) The regions with more suitable precipitation and accumulated temperature during the growth period of winter wheat in the study area had relatively high actual winter wheat yields. Overall, the average actual yield of the entire region showed a significant increasing trend over time, with an upward trend of 47.827 kg ha−1 yr−1. (3) The variation coefficient of winter wheat climatic yield was relatively stable in 2008–2018. In particular, there were many years of continuous reduction in winter wheat yields prior to 2006. Thereafter, the impact of climate change on winter wheat yields became smaller. This study expands our understanding of the complex interactions between climate variables and crop yield but also provides practical recommendations for enhancing agricultural practices in this region