Climate change has been shown to impose significant threats to the agricultural sector. Understanding the climate change impacts on agricultural productivity is critical for fostering effective adaptation stargates. A large body of relevant studies was conducted in developed countries, such research is scarce for emerging economies that are considerably more vulnerable to climate change. Moreover, solid evidence of the climate change impacts on wheat is still scent. In this paper, we aim to fill this gap by empirically examining the impacts of climate change on winter wheat yield in China. We compiled a unique data set consisted of hourly temperature variations and county-level agricultural data from 1981 to 2015. Unlike most of the previous studies, we allow winter wheat’s responses to weather fluctuation to vary across the season (growing stages) which is meaningful given winter wheat has a relatively long growing period. Our findings indicate that heat in the fall and freezing in the early spring is the most evident drivers of yield losses. For future yield consequences under climate change, we highlight the importance of accounting for the potential benefits stemmed from the reduction of freezing days. If such effects were omitted, the damages of climate change will be significantly overstated (a yield reduction of 5.5% vs 0.5% under a uniform warming scenario of 1 degree). Our results lead to potential adaptation strategies such as moving the wheat planting areas to regions with a warmer and more moisture climate. Besides, lending more agricultural resources from summer crops to winter wheat might also be desirable for securing food supply in future climate.