Jiangsu is an important agricultural province in China. Winter wheat, as the second major grain crop in the province, is greatly affected by moisture variations. The objective of this study was to investigate whether there were significant trends in changes in the moisture conditions during wheat growing seasons over the past decades and how the wheat yields responded to different moisture levels by means of a popular drought index, the Standardized Precipitation Evapotranspiration Index (SPEI). The study started with a trend analysis and quantification of the moisture conditions with the Mann-Kendall test and Sen's Slope method, respectively. Then, correlation analysis was carried out to determine the relationship between de-trended wheat yields and multi-scalar SPEI. Finally, a multivariate panel regression model was established to reveal the quantitative yield responses to moisture variations. The results showed that the moisture conditions in Jiangsu were generally at a normal level, but this century appeared slightly drier in because of the relatively high temperatures. There was a significant correlation between short time scale SPEI values and wheat yields. Among the three critical stages of wheat development, the SPEI values in the late growth stage (April-June) had a closer linkage to the yields than in the seedling stage (October-November) and the over-wintering stage (December-February). Moreover, the yield responses displayed an asymmetric characteristic, namely, moisture excess led to higher yield losses compared to moisture deficit in this region. The maximum yield increment could be obtained under the moisture level of slight drought according to the 3-month SPEI at the late growth stage, while extreme wetting resulted in the most severe yield losses. The moisture conditions in the first 15 years of the 21st century were more favorable than in the last 20 years of the 20th century for wheat production in Jiangsu.