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Climate change causes shading and threatens wheat (Triticum aestivum L.) yield. Understanding the effects of shading on grain number and morphological characteristics of winter wheat during the young microspore (YM) stage may secure grain yield. Field and pot experiments were performed with six widely planted winter wheat cultivars in the North China Plain (NCP), subjected to 98% blocking of natural light for different shading durations (0, 1, 2, 3, 4, 5, and 6 d) during the YM stage. Results showed that the YM stage was highly sensitive to shading stress, which significantly reduced grain number, causing grain yield loss. Moreover, response to shading varied among cultivars. Sensitive cultivars, such as Kenong9204 and Liangxing99, showed decreases in grain yield per plant of 32.2 to 74.9% and 25.7 to 91.4% in 2016 and 23.0 to 89.2% and 21.9 to 94.3% in 2017 with increasing shading duration. Reduction in grain yield with increasing shading duration was associated with decreasing grain number, grain weight, plant height, and dry matter weight of main stems and tillers. Tolerant cultivars Jimai32 and Henong825 experienced decreases in grain yield per plant of 8.2 to 17.3% and 11.3 to 14.2% in 2016 and 9.7 to 23.7% and 6.5 to 18.5% in 2017 with increasing shading duration. Adaptation of tolerant cultivars to shading was enhanced by rapid tiller development and photosynthesis recovery, inducing productive tillers to increase grain number per tiller, thus resulting in a smaller reduction in grain yield. Therefore, selecting shade-tolerant cultivars may help to ensure high yield in winter wheat in fog-haze areas of the NCP.