Climatic warming and water shortages have become global environmental issues affecting agricultural production. The change of morphology and anatomical structures in plant organs can greatly affect plant growth. The study combined temperature and relative humidity to regulate vapor pressure deficit (VPD) to form low and high VPD environments (LVPD and HVPD, respectively) in two climate-controlled greenhouses. The effects of different VPD conditions on gas exchange parameters, dry matter, and leaf and stem anatomical structure parameters of muskmelon and cucumber were compared and studied. The results show that the background VPD conditions give different internal structure of muskmelon and cucumber, therefore it can improve the transport capacity of water to the leaf surface under LVPD conditions. At the same time, the stomatal closure induced by atmospheric drought stress is avoided and the gas exchange capacity of the leaf stomata is enhanced, thereby maintaining high photosynthetic rate. Thus, reducing VPD is the key to achieving high yield and productivity in greenhouse muskmelon and cucumber production.