Based on daily meteorological data and winter wheat yield data collected from 39 meteorological stations in Henan province and surrounding areas during 1996-2015, grey correlation analysis method was adopted to analyze space-time change characteristics of the correlations between climatic elements during winter wheat growing period and yield in countries of Henan province. The results showed that in general, among the correlations between climatic elements and winter wheat yield in Henan province, the temperature correlation was the largest, followed by sunshine hours, while precipitation was the smallest; in terms of spatial distribution of correlations, the correlation in northern regions was higher than that in southern regions; the transitivity of south and north was remarkable; particularly in Xinyang city in the south, its correlation was obviously lower compared to those of other regions. Seen from time quantum, the correlations between climatic elements during winter wheat growing period and yield declined a bit during 1996-2010, while rose abruptly during 2011-2015, showing a distinct inter-annual change feature. In particular, changes in counties located in the southwest and the south were remarkable, while those in the north, east and middle regions were smaller. Generally speaking, the correlations between each climatic element and winter wheat yield presented a rise tendency, and the influences of climate changes on winter wheat yield gradually became obvious. Hence, people should actively take corresponding strategies to cope with effects caused by climate changes.