Water consumption components can greatly contribute to crop yield and water resource utilization efficiency in arid regions. The Loess Plateau is located in the semi-arid climate region, which is an important dryland grain-producing area in China. Among them, the precipitation resource is the main agricultural water source in the crop fields. Winter wheat is one of the main grain crops in the dryland farming area in the Loess Plateau. Because of the uneven distribution of precipitation in time and space, drought occurs frequently in the main growing season, resulting in the low and unstable production level of winter wheat. This study aims to analyze the characteristics of water consumption components for winter wheat, in order to investigate the effects on the Leaf Area Index (LAI), yield, and Water Use Efficiency (WUE). The observation data of winter wheat was collected from 1981 to 2020 in the Xifeng State Agrometeorological Experimental Station in Gansu Province of China. The results showed that the average water consumption was 315 mm in the winter wheat fields over the past 40 years. The soil water was first converted from the precipitation during the growing season, accounting for 69.4%, and then consumed the soil water storage in the fallow period, accounting for 30.6%. The interannual precipitation greatly dominated the water consumption of winter wheat fields. Among them, the beginning of grow-flowering was the main supply period of soil water storage in the summer fallow period. As the years went by, the LAI, dry matter mass, yield, and WUE all showed an increasing trend. There was a power function relationship between the water consumption of winter wheat fields and the maximum LAI. The LAI was closely related to the interannual precipitation in the growth periods. However, the varieties had no significant effect on the LAI, but a significant effect was found on the dry matter mass. Dry matter mass accumulation and distribution were significantly correlated with the soil moisture before sowing, precipitation and water consumption during growth periods. The contribution rate of pre-anthesis dry matter transport to panicle mass was negatively correlated with the water consumption, whereas the contribution rate of post-anthesis dry matter accumulation to panicle mass was positively correlated with the water consumption. Both of them had a high correlation with the precipitation during growth periods. At the same time, there was a quadratic function model between the water consumption and yield of winter wheat. The high yield with the increase in water consumption over the recent 10 years was significantly higher than that over the previous 30 years, particularly with the emergence of excellent varieties. The average WUE was 11.04 kg/(hm2·mm) over the past 40 years, with the highest and lowest values in the 2010s and 2000s, respectively. Dry matter mass, yield, and WUE increased significantly in recent 10 years. One reason was the emergence of a series of drought-resistant and high-yield varieties, such as Longyu. Another was the increase in precipitation in the growth periods. The findings can provide a theoretical basis for the efficient utilization of water resources in the Loess Plateau and the sustainable development of dry farming.