Winter wheat (Triticum aestivum L.) production on the Loess Plateau in China has been threatened by water scarcity and climate change during the last decade. Sustainable crop production in this region requires managerial practices that can provide high yield and high water productivity (WP). A 7-year (2001–2008) study at the Loess Plateau Research Station of Lanzhou University investigated the effects of various conservation tillage practices on grain yield, soil water content (SWC), WP and economic return of winter wheat production. Tillage treatments included: conventional tillage (T), conventional tillage followed by stubble retention (TS), no-till (NT) and no-till followed by stubble retention (NTS). Over the entire experimental period, grain yield and WP of winter wheat ranged from 1279 to 4894 kg/ha and 0·32 to 2·41 kg/m3, respectively. Both were significantly affected by tillage treatment and year, while SWC was only affected by year. Grain yield and WP in TS was increased by 4·9, 12·1, 0·9% and 13·7, 20·4 and 3·9% compared with NTS, NT and T, respectively, over seven growing seasons. Additionally, a multiple linear regression analysis indicated that grain yield is mainly limited by SWC during planting. Despite its lower grain yield, the NTS treatment increased economic benefit by US$ 328, US$ 23 and US$ 87/ha compared with TS, NT and T, respectively. Therefore, it is suggested that increasing soil water storage at wheat sowing time and encouraging the use of NTS could improve economic returns in this region.