In order to determine the effects of different straw returning amounts instead of some chemical fertilizers on yield, water and fertilizer use efficiency and nitrate accumulation characteristics of winter wheat, from 2018 to 2021, an experiment including four treatments, which were no straw returning (S0), half of straw returning (S1/2), total straw returning (S1) and two times straw returning (S2), was conducted in the Winter wheat planting region in loess dryland of southern Shanxi to study the effects of different straw returning amounts instead of some chemical fertilizers on yield formation of winter wheat, water and fertilizer use efficiency and soil nitrate-N residue. The results showed that on the basis of straw instead of 8.3%~31.9% N and 15.7%~63.2% P₂O₅ in winter wheat growing region of loess dryland, the yield of winter wheat generally increased with the increasing of straw returning amount, and in wet year, increasing the amount of straw returning could produce greater yield effect. The 3-year experiment showed that the average yield of winter wheat in the treatment of S2 was 17.5% (P<0.05), 10.4% (P<0.05) and 4.3% higher than that in S0, S1/2 and S1 treatment, respectively. The spike number per hectare of winter wheat was increased by returning straw to the field for three consecutive years. The average spike number of winter wheat in S2 treatment was higher 17.1% (P<0.05), 12.3% (P<0.05) and 3.6% higher than that in S0, S1/2 and S1 treatment, respectively, but there was no significant difference in Kernels number per spik and thousand kernel weight among different treatments. The 0-2 m soil water storage before seeding gradually increased with the increasing of straw returning amount to the field, and during the experiment, the average soil storage of S2 was 8.3% higher than that of S0 treatment (P<0.05). Water consumption also increased with the increasing of straw returning amount, and the average water consumption of S2 was 10.0% (P<0.05) higher than that of S0 treatment. There was no significant difference in water production efficiency among different treatments, with an average of 14.9 kg/(hm²·mm). Based on straw returning instead of partial fertilizer, the fertilizer use efficiency of winter wheat in loess dryland increased with the increasing of straw increasing amount, and the average nitrogen partial fertilizer productivity of N (PEP_N), agronomic efficiencies of N (AE_N), current recovery efficiencies of N (RE_N) and partial fertilizer productivity of P(PEP_P) of S2 treatment were 66.4%,155.8%,113.5% and 105.2% higher than those of S0 treatment, respectively. After three consecutive years of no straw returning, the soil nitrate-N residue of 2 m soil layer increased by 100.6% compared with that pre-sowing in 2018, and nitrate nitrogen accumulated in deep soil layer with downward leaching of water. The accumulation of nitrate nitrogen in 2 m soil layer of straw returning treatment was lower than that pre-sowing in 2018, and the residue of nitrate nitrogen in 2 m soil treated with S2 was the lowest, 244.8 kg/hm². Comprehensively considered, in the wheat planting region of loess Dryland in southern Shanxi, straw instead of 8.3%~31.9% N and 15.7%~63.2% P₂O₅ could increase soil moisture before sowing, reduce fertilizer residue, improve fertilizer use efficiency and obtain remarkable yield. Among the different treatments, the yield and water and fertilizer effect in the S2 treatment (average straw returning amount 7 477 kg/hm²) were the best. The results could provide theoretical basis for the prevention and control of non-point source pollution and the high-yield and high-efficiency green production of winter wheat in the dryland of wheat area.