The present work explored the possibility of using wheat malt flour (WMF) to improve the physicochemical properties of wheat dough and cookie-making performance. The effect of WMF substitution on rheology, pasting properties, water mobility and microstructure of wheat dough and the texture, physiognomy of cookies was investigated. The results illustrated that incorporation of WMF significantly (p < 0.05) decreased the water absorption, development time, stability time and resistance to extension while increased the degree of softening, extensibility and resistance of wheat flour (WF) pastes to shear thinning. Typical pasting profile of WF disappeared once WMF substitution level exceeded 2.5%. Addition of WMF had no significant influence on bound and immobilized water in wheat dough (p > 0.05), while the transverse relaxation time of free water (T23) decreased gradually with increasing WMF level. Microstructure results showed that starch granules were connected and enmeshed in weak protein matrix for samples with WMF addition. Lightness (L*) and hardness of cookies decreased with increasing WMF level while redness (a*) and spread ratio augmented. Overall, WMF can be used as baking improver for cookies-making by selecting appropriate substitution level for conventional WF.