Plants of spring wheat (Triticum aestivum L. cv. Vinjett) were exposed to moderate water deficit at the vegetative growth stages six-leaf and/or stem elongation to investigate drought priming effects on tolerance to drought and heat stress events occurring during the grain filling stage. Compared with the non-primed plants, drought priming could alleviate photo-inhibition in flag leaves caused by drought and heat stress episodes during grain filling. In the primed plants, drought stress inhibited photosynthesis mainly through decrease of maximum photosynthetic electron transport rate, while decrease of the carboxylation efficiency limited photosynthesis under heat stress. The higher saturated net photosynthetic rate of flag leaves coincided with the lowered non-photochemical quenching rates in the twice-primed plants under drought stress and in the primed plants during stem elongation under heat stress. Compared to the non-priming treatment, drought priming either applied once or twice alleviated the grain yield reduction by drought stress during grain filling, and priming during the stem elongation stage alleviated yield loss by heat stress at grain filling. The higher concentration of abscisic acid in primed plants under drought stress could contribute to higher grain yield compared to the non-primed plants. Taken together, the results indicate that drought priming during vegetative stages improved tolerance to both drought and heat stress events occurring during grain filling in wheat.