Drought is a natural disaster caused by the lack of rain and water shortage in the atmosphere, and it happens frequently and widely in all the world. This paper studied the relationship between the agricultural drought and wheat yields in China. It used nearly ten years of MODIS data and the yields data of wheat in every province among the wheat-growing areas of China. Then, it gave the drought distribution using the improved agricultural drought index and the drought changes in wheat growing season. Finally, it analyzed the effect of drought on wheat yields. The results showed that the effect of drought on wheat yields in northern of China is bigger than that in southern of China.