The objectives of this study were to investigate the involvement of root and shoot factors in controlling leaf gas exchange of soybean ( Glycine max L. Merr.) during progressive soil drying, and its implication in improving water use efficiency (WUE) at mild soil water deficits. Soybeans were grown in pots in a climate-controlled glasshouse. Shoot dry mass (DM), transpiration ( E), stomatal conductance ( g s), light-saturated photosynthetic rate ( A max), leaf water potential ( Ψ l), leaf osmotic potential ( Ψ π), leaf turgor pressure ( Ψ pl), root water potential ( Ψ r), and xylem sap ABA concentration ([ABA] xylem) were followed in well-watered and drought-stressed plants. As soil dried, g s, E, A max, Ψ l, Ψ π, Ψ pl, Ψ r, [ABA] xylem, and DM of the drought-stressed plants started to diverge from the well-watered controls from 8, 8, 9, 9, 9, 11, 7, 7, and 14 days after imposition of stress (DAIS), respectively. During soil drying, [ABA] xylem increased linearly with decreasing Ψ r. To minimize day-to-day variation, g s, Ψ pl, [ABA] xylem, and WUE of the drought-stressed plants were expressed relative to the well-watered controls. It was found that the relative g s decreased linearly from 1.0 to about 0.40 with increasing relative [ABA] xylem; thereafter it decreased further to 0.10 and was linearly correlated with decreasing relative Ψ pl, indicating that at mild soil water deficits g s was seemingly controlled by root-originated ABA; and Ψ pl significantly affected g s only at severe soil water deficits. Relative WUE at single leaf level (WUE leaf) was around 1.0 for fraction of transpirable soil water (FTSW) > 0.60–0.65, thereafter it increased exponentially and reached a peak at FTSW = 0.25–0.30. As FTSW approached zero then relative WUE leaf declined linearly to less than 1.0. Similarly, relative WUE at whole plant level (WUE plant) increased exponentially as FTSW < 0.60 and reached a peak at FTSW ≈ 0.20, and then declined dramatically as the soil was further dried. The results indicate that WUE, at both single leaf and whole plant levels, was improved at mild soil water deficits.