Field experiments were conducted to analyze the effectiveness of the crop stress index (CWSI) obtained by infrared thermal imaging to indicate crop water status, and to determine the appropriate CWSI threshold range for wheat at different growth stages. The results showed that the sensitivity of plant physiological parameters to soil water was different at different growth stages. The sensitivity of stomatal conductance (Gs) and transpiration rate (Tr) to soil water was higher than that of leaf relative water content (LRWC) and photosynthetic rate (Pn). The characteristics of plant physiology and biomass (yield) at each growth stage showed that the plant production would not suffer from drought stress as long as the soil water content (SWC) was maintained above 57.0% of the field water capacity (FWC) during the jointing stage, 63.0% of the FWC during the flowering stage and 60.0% of the FWC during the filling stage. Correlation analysis showed that the correlation of CWSI with Gs, Tr and Pn was lower than that with LRWC and SWC at the jointing stage. CWSI was extremely significantly negatively correlated with SWC and LRWC (p < 0.01), but significantly negatively correlated with Gs, Tr and Pn (p < 0.05). At the flowering stage, CWSI was extremely significantly negatively correlated with all physiological and soil parameters (p < 0.01). The regression analysis showed that the CWSI of winter wheat was correlated with biomass (grain yield) in a curvilinear relationship at each growth stage. When the CWSI increased to a certain extent, the biomass and yield showed a decreasing trend with the increase in CWSI. Comprehensive analysis of all indexes showed that CWSI can be used as a decision-making index to guide the water-saving irrigation of winter wheat, as long as the CWSI threshold of plants was maintained at 0.26–0.38 during the jointing stage, 0.27–0.32 during the flowering stage and 0.30–0.36 during the filling stage, which could not only avoid the adverse effects of water stress on crop production, but also achieve the purpose of water saving.