Field experiments were conducted in 2006-2008 to study the effects different conservation tillage measures, including conventional tillage with stubble incorporating (TS), no-tillage without stubble retention (NT), no-tillage with stubble standing (NTSS), no-tillage with stubble retention (NTS), on the soil moisture profile, soil water storage, water use efficiency (WUE), and grain yield of winter wheat in Wuwei oasis irrigated area. Comparing with conventional tillage, NTS and NTSS could significantly increase the water storage in 0-30 cm soil layer from returning green to jointing stage, and increase this storage in 30-150 cm soil layer from returning green till maturity. NTS, NTSS, and NT increased the water storage in whole soil profile (0-150 cm) by 29.55-34.69 mm, 17.32-21.79 mm, and 0.89-15.68 mm at sowing, and 37.59-38.35 mm, 5.70-22.14 mm, and 4.61-13.93 mm at harvesting, respectively. The difference in water storage became more significant with increasing soil depth. NTS, NTSS, NT and TIS increased the grain yield of winter wheat by 15.65%-16.84%, 6.98%-12.75%, 5.88%-11.74%, and 3.92%-8.16%, and the WUE by 17.15%-17.52%, 7.75%-9.65%, 8.24%-10.00%, and 4.17%-9.91%, respectively. NTS and NTSS improved the rain water use efficiency and grain yield, being the efficient conservative tillage measures to alleviate the lack of water resource in the study area.