Vegetation water use efficiency (WUE) is a crucial indicator for elucidating the interconnections between the carbon and water cycles of ecosystems and for discerning the response of vegetation ecosystems to climate change. Gansu Province in northwestern China is facing significant ecological water-related challenges. However, the response of vegetation WUE to climate environmental factors in this region remains unclear. In this study, the MODIS vegetation gross primary productivity (GPP) and evapotranspiration (ET) datasets were used to calculate the vegetation WUE in Gansu Province and, combined with meteorological data, Theil–Sen median trend analysis and partial correlation analysis were used to determine the spatial and temporal characteristics of vegetation WUE in this region and its response to climate environmental factors. Finally, the random forest model was used to rank the importance of climate environmental factors. The results indicate the following: (1) The average values of vegetation WUE, GPP, and ET in Gansu Province from 2000 to 2020 were 1.46 gC·mm−1·m−2, 510.22 gC·m−2, and 343.68 mm, respectively, and their spatial distribution was high in the southeast and low in the northwest, which was closely related to the distribution of vegetation in the region. (2) Over the past 20 years, the vegetation WUE in this region showed a slowly decreasing trend in general, with a decrease rate of 16.57%. There were significant differences in the WUE of different vegetation types, among which forest WUE was the highest and grassland WUE the lowest. (3) The trend prediction of WUE in Gansu Province was performed by using the rescaled extreme difference method, and the Hurst index was 0.45, which means that the vegetation WUE in this region is expected to increase in the future. (4) In general, precipitation was the main factor influencing the change in vegetation WUE in Gansu Province, followed by vapor pressure deficit (VPD), temperature, and soil moisture. This study provides strategy support for the coupling process of vegetation ecosystems and the sustainable development of agriculture and animal husbandry in Gansu Province and has scientific reference value for promoting and planning the sustainable development of vegetation in arid and semi-arid areas.
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