Fruit-wheat intercropping is an important way to resolve the land competition between fruit and grain and ensure food security. However, there is little research on the mechanism of wheat yield formation and its response to nitrogen fertilizer under long-term shading. From 2016 to 2017, wheat variety “Xindong 20” was selected, and four shading treatments were set: shading at jointing stage 10%-shading at heading stage 25% (S1), 20%–50% (S2), 30%–75% (S3), normal light (S0) and four nitrogen fertilizer (N0: 0 kg ha−1, N1: 103.5 kg ha−1, N2: 138 kg ha−1, N3: 172.5 kg ha−1). The results show that compared with S0, wheat leaf area index (LAI), chlorophyll a, b and a + b content under S1 increase by 14.9–57.4%, 2.9–24.5%, 16.5–28.9%, 7.8–25.5%, respectively, and they decrease significantly under S2 and S3. With the increase in the shading range, the net photosynthesis rate (Pn), transpiration rate (Tr), stomatal conductance (gs), and non-photochemical quentum coefficient (NPQ) decrease significantly, while the actual photochemical efficiency (ΦPSII) and the photochemical quenching coefficient (qP) increase significantly. Under S1, S2, and S3, the total dry matter accumulation (TDA), the dry matter accumulation of reproductive organs (DAR), and the yield decrease with the increase in shading range. Under the S0 and S1 conditions, compared with other nitrogen treatments, LAI, chlorophyll content, Pn, ΦPSII, qP, TDA, DAR, and yield of wheat under N2 treatment increase by 4.1–366.9%, 5.7–56.3%, 3.0–131.7%, 6.7–87.5%, 3.7–96.9%, 7.1–340.8%, 0.3–323.0%, 1.5–231.2%. Therefore, under jujube-wheat intercropping, and apricot-wheat and walnut-wheat with light shade in the early stage, photosynthetic capacity of wheat leaves and dry matter accumulation and transfer to grains can be regulated by proper nitrogen application, which is beneficial to compensate for the negative effects of insufficient light on wheat yield; under moderate or excessive shading conditions (apricot-wheat and walnut-wheat in full fruit period), the regulating effect of nitrogen application on wheat is reduced, and the nitrogen application should be moderately reduced.