Asymmetric diurnal warming is a salient feature of global climate change, and its reshaping of hydrological and carbon processes in terrestrial ecosystems has attracted increasing attention. Water use efficiency (WUE), defined as the ratio of gross primary productivity to evapotranspiration, serves as a key indicator coupling vegetation water consumption with carbon sequestration; however, how daytime and nighttime warming directly and indirectly drive divergent WUE responses through soil moisture and evapotranspiration pathways—and whether these responses are governed by soil-moisture thresholds—remains insufficiently explored in arid grasslands. In this study, the arid and semi-arid grasslands of northern Xinjiang were selected as the study area, and the spatiotemporal heterogeneity of diurnal land surface temperature, evapotranspiration components, soil moisture, and WUE during the growing season was systematically analyzed to identify the key hydrological factors and driving pathways through which diurnal warming regulates WUE. The results showed that: (1) nighttime warming in the grasslands of northern Xinjiang was significantly stronger than daytime warming during the study period, with significant nighttime warming (p < 0.05) detected over 86.31% of the area, far exceeding the 16.62% observed for daytime warming, and the diurnal temperature range narrowing continuously at a rate of 0.02 °C per year; (2) over the same period, WUE exhibited an overall non-significant declining trend with pronounced spatial heterogeneity, with areas of significant increase concentrated in the Junggar Basin, whereas areas of significant decrease were clustered on the northern slope of the Tianshan Mountains, reflecting divergent evapotranspiration and productivity responses under contrasting moisture regimes; (3) LAI emerged as the most critical independent factor regulating WUE variation, with daytime warming exerting a significant negative effect on WUE primarily by depleting soil moisture, suppressing LAI, and intensifying vapor pressure deficit-driven evapotranspiration stress, whereas nighttime warming across the broader region exerted a positive compensatory effect by promoting LAI growth and sustaining soil moisture availability; (4) these pathway reversals are governed by a soil-moisture threshold: in the arid basin where WUE increased significantly, the effects of nighttime warming on soil moisture and LAI shifted from promotive to inhibitory, and the direct effect of daytime warming likewise reversed from positive to negative, revealing that the apparent WUE increase reflects a passive hydrological response in which transpiration is preferentially suppressed under severe water deficit rather than an improvement in ecosystem function. These findings demonstrate that diurnal warming effects on grassland water use exhibit pronounced soil-moisture threshold dependence and spatial heterogeneity. Our study highlights that substituting daily mean temperature for separate daytime and nighttime temperatures masks the opposing effects of asymmetric warming on coupled water consumption and carbon processes, and underestimates the sensitivity of arid grassland hydrological cycles to climate warming. This study provides a new mechanistic basis for optimizing parameters in carbon–water cycle models and for differentiated water resource management in arid grassland regions.