Water shortage is a limiting factor to crop production in North China. Mulching is a widely used approach to conserve soil water and improve crop yield. A 2-year field experiment was conducted at the Nanpi Eco-Agricultural Experimental Station of the Chinese Academy of Sciences in 2014–16, in which yields of winter wheat (Triticum aestivum L.) in a treatment with subsoil plastic film mulch were compared with non-mulch. The mulch treatment produced a 16.1% higher grain yield than the non-mulch treatment. The increase in grain yield was primarily due to a 10.1–10.9% increase in number of spikes per m² and a 4.7–5.1% increase in number of grains per spike. Plants in the mulch treatment showed greater dry matter (DM) accumulation but similar harvest index. Yield improvement did not depend on increasing DM translocation, but was significantly related to DM accumulation at different growth stages. Increased DM accumulation before wintering, from jointing to heading and from anthesis to maturity, enhanced grain yield by promoting increased number of spikes and number of grains per spike. Soil evaporation was lower by 31.1% and transpiration increased by 28.0% in the mulch treatment, resulting in 8.9–9.4% higher water-use efficiency. Our results indicate that a subsoil plastic film mulch can effectively improve winter wheat yield and water-use efficiency under rain-fed conditions.