Improving Nitrogen Use Efficiency (NUE) in crops of winter wheat is of interest in Poland, due to their significant share in the sown area. The aim of this study was, therefore, to determine the relationships between grain (Yd) and N yields (Yn), NUE, Water Use Efficiency (WUE) depending on N rates (F) and actual potential evapotranspiration (APET). The study used the results of field experiments, conducted in the years 2003–2013 in two locations in Poland. In the experiments, wheat was fertilized with doses of 40, 80, 120, 160 and 200 kg N/ha under the fertilization with P, K, Mg and Ca. It was found that the dose range of 80 ± 40 kg N/ha allowed to obtain Yd of 5.34 ± 1.43 t/ha and NUE values of 116 ± 17%, which brought the risk of soil N mining. Increasing N doses (160 ± 40 kg/ha) increased Yd (6.08 ± 0.71 t/ha) and allowed for obtaining the desired values of NUE (73 ± 5%), Yn (119 ± 18 kg/ha) and N surplus (43 ± 13 kg/ha). The performed statistical analysis showed that Yd, Yn and WUE had grown with increasing doses of N under the influence of water shortages in the range of APET less than 398 mm. Under these conditions positive interaction between Yd, Yn, WUE depending on F and APET has been demonstrated. Only for a dose of 200 kg N/ha were found negative interactions between Yd, WUE on F and APET. NUE decreased with increasing N doses. The relationship between NUE and WUE was positive but specific for N doses due to the statistically significant interaction of F×WUE. The maximum value of WUE obtained in the experiments was 26 kg grain/ha/mm. In the absence of limiting factors WUE increased linearly together with growing NUE up to the value of 93.9% and then linearly decreased. In the range of the desired NUE values (50–90%), WUE values were between 16,4–23,5 kg grain/ha/mm.