Understanding the region-specific efficiency of the water, energy, and food (WEF) nexus is critical for the effective design of governance strategies. To exclude the heterogeneous influence of the external environment and unveil the real efficiency of the WEF nexus in 30 provinces in China, a three-stage data envelopment analysis was used for efficiency measurement from 2005 to 2016. The results showed that after eliminating external environmental factors and statistical noise, the number of frontier-efficiency provinces decreases, and most provinces experience rank change, except for Tianjin. The average value of the WEF real efficiency in China rose from 0.202 in 2005 to 0.599 in 2016. The provinces were then categorized into four groups based on water and energy endowment for efficiency comparison. Between 2005 and 2016, the efficiency of each group increased, with that of the “water scarcity-energy importing” group being the highest. Furthermore, external environmental factors impede the enhancement of provincial WEF nexus efficiency, mainly because the extensive growth of external environmental factors focuses on scale expansion, rather than on quality improvement, leading to a large-scale slack in WEF inputs. The results of this study provide implications for governance strategies designed from external environmental factors and WEF resource endowment aspects.