Wheat can be cultivated by hole sowing, but its border effect has not yet been studied. Therefore, we carried out a field experiment from 2021 to 2022 at the Doukou Crop Experimental Demonstration Station (108°52′ E, 34°37′ N) of Northwest A&F University in Jingyang County, Xianyang City, Shaanxi Province, China. The response of dry matter, photosynthetic characteristics, and yield components of wheat to the border effects under the hole sowing method was studied. The results showed specific border effects on each index of five wheat varieties (XN136, XN175, XN527, XN536, and XN765), among which the border effects of XN175 and XN765 were the most significant, with the highest yield. Subsequent correlation analysis revealed that only grain per spike and intercellular carbon dioxide concentration responded negatively to the border effects, and the rest were positively correlated. Finally, we conducted a random forest model analysis of different indicators of wheat varieties with significant border effects. We found that net photosynthetic rate and aboveground dry matter per plant had the most significant impact and contribution to the border effects. In contrast, grain per spike had the most negligible impact on the border effects. Our results fill a gap in the study of the border effects of wheat under hole sowing cultivation for future researchers.