Drought significantly threatens crop productivity and food security worldwide. However, the severity of drought is predicted to increasingly intensify in the future. To provide an antidrought strategy for farmers and breeders, the response of stomatal behavior of crops to water stress should be well studied. In this study, a lysimeter experiment was conducted to study the relationship between gas exchange parameters and grain yields of winter wheat. Light, moderate, and severe drought levels were imposed at seedling, jointing, heading, and filling stages. The results showed that crop evapotranspiration (ETc, mm) of winter wheat during the entire growing season was limited by drought imposed at any growth stage, and ETc under severe drought treatment was always the lowest. The stomatal limitation value had a significant linear correlation with the stomatal conductance (Gs, μmol mol H2O m–2 s–1) and transpiration rate (Tr, mmol H2O m–2 s–1). Light and moderate drought levels at the seedling stage did not generate irreversible physiological stress on wheat plants, while severe drought at any growth stage caused significant reduction in gas exchange parameters and grain yields. Theoretical threshold values of leaf water use efficiency (WUEl) for light, moderate, and severe drought levels were 2.62, 3.36, and 4.11 μmol mmol–1, respectively. The threshold values are useful to provide theoretical reference for achieving smart irrigation in the North China Plain.