Soil structure plays a critical role in agroecosystems because it controls soil air and water capacity, nutrient availability, and crop root growth. A field experiment was conducted to evaluate the effect of bentonite on soil relative water content, soil cone penetration resistance, soil bulk density, aggregate size distribution, and millet crop yield components in a semi-arid region in northern China from 2011 to 2015. Treatments consisted of six bentonite rates (0, 6, 12, 18, 24, and 30 Mg·ha⁻¹) applied only in the initial year. Addition of bentonite significantly increased soil relative water throughout the profile (0–60 cm) and aggregates in 0.25–2 mm class in 0–40 cm depth; it significantly decreased soil bulk density, soil cone penetration resistance, and aggregates in 0.053–0.25 mm class in the 0–40 cm depth. All of the bentonite treatments significantly increased 1000-kernel weight and panicle number up to 16% and 33%, respectively, but did not affect kernels per spike. Treatment with 24 Mg·ha⁻¹ bentonite achieved the greatest effect on all the soil physical parameters and crop yield components averaged over all years; the highest application rate (30 Mg·ha⁻¹) had an increasing effect over time. This study indicates that application of bentonite improves soil health in sandy-loam soil in a semi-arid region, and thus it would help promote sustainable agriculture development in regions with similar soil and climate.