The high molecular weight glutenin subunits (HMW-GS) and glutenin macropolymer (GMP) in wheat grain are important characteristics that affect the quality of wheat products. Light intensity, as one of the environmental factors affecting grain yield and quality, has been studied extensively; however, little is known about its impact on HMW-GS and distribution of GMP granules in wheat grain. In the present study, two strong-gluten winter wheat cultivars with different subunit compositions were used to evaluate the effect of shading at different grain-filling stages on changes in HMW-GS and distribution of GMP granules in wheat grains. No effects of shading on initial formation time of each individual subunit were found; they responded similarly to shading with an increase in relative content, though the accumulation amount per grain of each individual subunit was decreased due to a decrease in grain weight induced by shading. Shading at different grain-filling stages, especially at the middle grain-filling stage, led to a significant increase in GMP content during grain filling; however, the proportions (by volume, number and surface area) of the larger GMP granules were increased by shading at middle and late grain-filling stages and decreased by shading at early grain-filling stage. It was also found that the content of total HMW-GS was positively correlated with volume proportions of larger GMP granules and negatively correlated with volume proportions of small GMP granules, which indicated that the pattern of response of distribution of GMP granules to shading was closely related to the regulatory effect of shading on the HMW-GS.