In order to understand the effect of climate change on the yield of winter wheat in Yili valley, we conducted the analysis of temperature and precipitation variations during the growth period of winter wheat between 1980 and 2011 and the investigation of the effects of climatic factors on yield formation, trying to find out the advantages and disadvantages of climate change to winter wheat yield over the last 32 years in Yining, Huocheng, Gongliu and Xinyuan Counties of Yili River Valley. The results showed that climatic factors were fitting for winter wheat over the average of 32 years, but while the effects of inter-annual variation in climatic factors were diverse, the yields influenced ranged from -1507~745 kg/hm~2. The influences of temperature and precipitation to winter wheat were different in the various growth periods, temperature were positive in seedling before winter, insignificant in winter, and negative thereafter, and heading to mature were the key period of temperature effect winter wheat yield. Precipitation had mostly insignificant while positive effect in various growth periods of winter wheat, and the effects of rainfall in the whole growth period on yield were significant (P=0.05) in both Xinyuan and Gongliu County, but not in Yinin and Huocheng County. With global warming, the mean temperature in winter wheat growing season showed significant increasing trend by the rate of 0.503°C/10 years to 0.653°C/10 years in four counties, and precipitation have a non-outstanding increase trend by the rate of 3.828 mm/10 years to 18.948 mm/10 years respectively. Recent 32 years, climate change on winter wheat production has advantageous aspect, also have adverse effects, but overall the disadvantages outweigh the advantages. Mean temperature increasing is favorable to winter wheat in the period of sow to tiller, in wintering has little effect, but will cause obvious adverse effects on yield in the period of turning green to mature. Precipitation increasing to improve winter wheat production has certain positive significance, but the directly affect had no significant correlation with wheat yield mostly.