AbstractClimate change has changed numerous species phenologies. Understanding the asynchronous responses between pest insects and host plants to climate change is helpful in improving integrated pest management. It is necessary to use long‐term data to analyze the effects of climate change on cotton bollworm and wheat anthesis. Data for cotton bollworm, wheat yield, and wheat anthesis collected since 1990 were analyzed using linear regression and partial least‐squares regression, as well as the Mann–Kendall test. The results showed that warmer temperatures in the spring advanced the phenologies of cotton bollworm and wheat anthesis, but the phenology changes in overwintering cotton bollworm were faster than those in wheat anthesis, and the eclosion period of overwintering was prolonged, resulting in an increase in overwintering adult abundance. This might lead to more first‐generation larvae and subsequent wheat damage. An early or late first‐appearance date significantly affected the eclosion days. The abrupt changes of phenologies in cotton bollworm, wheat anthesis, and climate were asynchronous, but the abrupt phenology changes occurred after or around the climate abrupt change, especially after or around the abrupt changes of temperature in March and April. The expansion of asynchronous responses in the change rate of wheat anthesis and overwintering cotton bollworm would likely decrease wheat yield due to climate warming in the future. Accumulated temperature was the major affecting factor on the first eclosion date (t1), adult abundance, and eclosion days. Temperatures in March and April and precipitation in the winter mainly affected the prepeak date (t2), peak date (t3), and postpeak date (t4), respectively, and these factors indirectly affected wheat yield. Thus, the change in the spring phenology of the cotton bollworm and wheat anthesis, and hence wheat yield, was affected by climate warming.