Risk analysis using climate-induced yield losses (CIYL) extracted from long-term yield data have been recognized in China, but the research focusing on the time-series characteristics of risk and the circulation signals behind yield losses still remains incomplete. To address these challenges, a case study on winter wheat production in Henan province, north China was conducted by using annual series of yield in 17 cities during 1988–2017 and monthly series of 15 types of large-scale oceanic-atmospheric circulation indices (LOACI). A comprehensive risk assessment method was established by combining the intensity, frequency, and variability of CIYL and principal component analysis (PCA). The results showed that the westernmost Henan was identified as the area of higher-risk. PCA and Mann–Kendall trend tests indicated that the southern, northern, eastern, and western areas in Henan province were classified as having different annual CIYL variations in these four sub-regions; the decreasing trend of CIYL in northern area was the most notable. Since the 2000s, a significant decline in CIYL was found in each sub-region. It should be noted that the key LOACI, which includes Tropical Northern Atlantic Index (TNA), Western Hemisphere warm pool (WHWP), and Southern oscillation index (SOI), indicated significant CIYL anomalies in some months. Furthermore, the regional yield simulation results using linear regression for the independent variables of year and various LOACI were satisfactory, with the average relative error ranging from 3.48% to 6.87%.