Cotton is the most important cash crop in Xinjiang but low utilization rate of water and fertilizer is restricting healthy development of this industry. At present, there is a lack of water and nitrogen management optimization methods based on multi-objectives of cotton water use efficiency (WUE), nitrogen use efficiency (NUE), yield, and income. A continuous field experiment was conducted during 2017–2018 to study the effects of water–nitrogen coupling on cotton growth, WUE, NUE, nitrogen partial factor productivity, yield, quality, and economic benefits under drip irrigation in northern Xinjiang. Using multiple regression and spatial analyses, the water and nitrogen management strategy for multi-objective optimization was determined. Three irrigation levels were used—low (I1), medium (I2), and full (I3)—Representing 75%, 87.5%, and 100% of cotton water demand, respectively. The three nitrogen application levels were low (N1, 210 kg/ha), medium (N2, 280 kg/ha), and high (N3, 350 kg/ha), representing 75%, 100%, and 125% of the local nitrogen application, respectively. Among all treatments, the leaf area index, boll weight, dry matter quantity and yield reached respective maxima of 4.43 m2/m2, 4.73 g, 16,623 kg/ha, and 6333 kg/ha for the I3N2 treatment. Cotton fiber quality was the best for I3 irrigation, but too little or too much nitrogen reduced fiber quality. The economic benefit under I3 irrigation was 1.93–4.81 times that for I1. For a single optimization objective, WUE reached a maximum of 1.78 kg/ha·mm for irrigation of 415.80 mm and nitrogen application of 295.71 kg/ha; corresponding single maxima follow: NUE of 37.65% for 418.27 mm and 278.57 kg/ha; yield of 6416.42 kg/ha for 470.12 mm and 304.29 kg/ha; and economic benefit of 15,338.55 RMB/ha for 470.12 mm and 307.14 kg/ha. Multiple regression and spatial analysis showed that for irrigation of 430.71–440.12 mm and nitrogen application of 270.95–318.45 kg/ha, the WUE, NUE, yield, and economic benefits of cotton simultaneously exceeded 90% of their maxima, which was an efficient and reasonable water and nitrogen management mode in this location. The results provide a scientific basis for effective integrated management of water and fertilizer in drip irrigation cotton fields in northern Xinjiang.