Compound drought is characterized by the concurrent occurrence of atmospheric water deficit and soil moisture shortage. It has emerged as the constraining factor on agricultural productivity and crop yield under climate change. However, it remains highly limited to clarify how crop productivity responds to such multifaceted stress, as well as the quantitative loss risks in recent years. This study aims to investigate the response features of crop productivity under compound droughts. The study area was taken as the primary winter wheat production regions in China. Drought events were then collected to systematically detect and categorize for subsequent assessment. The standardized precipitation evapotranspiration index (SPEI) and the standardized soil moisture index (SSMI) were utilized to identify meteorological drought and soil drought, respectively. Gross primary productivity (GPP) derived from high-resolution remote sensing data was employed as a robust indicator to represent winter wheat productivity at the regional scale. Furthermore, a Vine Copula model was applied to quantify the conditional probability distribution of winter wheat GPP loss under various single and compound drought scenarios. The results showed that: 1) In temporal patterns, meteorological drought generally exhibited an alleviating trend over the past two decades in the major winter wheat production regions. In contrast, soil drought has shown an increasing occurrence frequency since 2006. There was no synchronous spatiotemporal pattern between droughts, implying complex underlying eco-hydrological processes beyond only precipitation deficits. Spatial analysis indicated that the high-frequency zones of compound drought were predominantly concentrated in the Huang-Huai-Hai region, with 2011, 2014, and 2019 as typical compound drought years. 2) Winter wheat productivity exhibited different sensitivity to the drought types. Furthermore, the winter wheat GPP showed a significantly stronger and more sensitive response to soil drought, compared with the meteorological drought, indicating that the soil water availability dominated in regulating the crop photosynthetic activity. The GPP values were substantially reduced in the southern Huang-Huai Plain and the Jiang-Huai region during the typical compound drought event in 2011. The spatial distribution was aligned closely with the severe and extreme compound drought during the same period. 3) The probabilistic assessment demonstrated that the probability of winter wheat GPP loss shared a consistent upward trend under both single and compound droughts, as the drought severity evolved from mild to extreme levels. Most importantly, compound drought stress also decreased the productivity, compared with the single drought events. Specifically, the loss probability of winter wheat productivity increased by 20% to 35% under moderate and severe compound droughts, compared with the single ones. In conclusion, this finding can provide a quantitative assessment of winter wheat productivity responses to meteorological-soil compound drought. Drought monitoring can also contribute to the agricultural risk assessments and disaster prevention in major winter wheat production areas.