Because of asynchrony between the winter wheat growing season and precipitation, soil water supply is the main factor constraining winter wheat production. Hence, increasing soil water conservation is a crucial approach for improving winter wheat productivity in dryland. A 5-year-long, location-fixed field experiment was conducted to determine the effects of plastic mulch, straw retention, planting legume, and straw-legume on soil water and winter wheat grain yield. In comparison to the control, average rainfall harvest during summer fallow was increased by 9% by plastic mulch and mainly occurred in wet summers, and not affected by straw retention, but respectively decreased by 22% and 17% by planting legume and straw-legume. Average soil water storage at sowing was increased by 5% in plastic mulch and occurred in most summers, as well as also increased by 3% in straw retention but only occurred in one wet summer, and decreased by 5% in both planting legume and straw-legume and occurred in most cases. Average ET was not affected by plastic mulch and straw retention, but respectively decreased by 7% and 5% by planting legume and straw-legume. As a result, plastic mulch caused a 6% increase in the average grain yield of winter wheat, but straw retention, planting legume, and straw-legume decreased it by 8%, 6%, and 5%, respectively. Overall, plastic mulch is a beneficial measure for increasing rainfall harvest during summer fallow and soil water storage at sowing, and preferable for harvesting more grain yield, but the straw retention, planting legume and straw-legume showed hardly any benefit for grain yield of winter wheat in dryland.