The effects of irrigation on grain yield and water use efficiency was studied on two sequence replaced dryland winter wheat (Triticum aestivum L.) cultivars, Changwu 135 (CW, a new cultivar) and Pingliang 40 (PL, an old cultivar). Field experiments were carried out on Changwu country on Loess Plateau, China. Whereas the control plots were not irrigated at all, the treatment plots were irrigated three times, the quantity of irrigation being the same (40 mm) each time: at the jointing stage, at booting, and at flowering. Irrigation increased root biomass in each layer of soil in PL. Irrigation made PL produce greater root biomass in deeper soil, enabling the plants to tap larger quantities of water. CW had a harvest index (HI) greater by 0.11 than that of PL under both conditions, and lower shoot and root biomass, which indicates that more dry matter was transported to productive organs, leading to higher yields than PL. CW consumed more water to produce a unit quantity of root biomass and use irrigation less efficiently showing undercompensation, whereas PL showed overcompensation. Higher yield and greater water use efficiency in wheat appear to be associated with smaller root systems and higher harvest index irrespective of irrigation.