Integrating forage crops into the continuous winter wheat (Triticum aestivum L.) cropping system can be used for increasing rural population income and maintaining grain production on the Loess Plateau. The objective of this study was to comprehensively evaluate economic yield (EY yield ), dry matter yield (DM yield ), crude protein yield (CP yield ), wheat equivalent yield (WE yield ), and food equivalent yield (FEU yield ) when incorporating annual forages (oat [Avena sativa L.], soybean [Glycine max L.], and vetch [Vicia sativa L.]) into the traditional fallow-winter wheat system from a 4-year (2016-2020) experiment on the Loess Plateau of China. Results showed that incorporating annual forages into the continuous wheat system significantly increased system productivity. Among the four growing seasons, average system DM yield values for fallow-winter wheat (F-W), oat-winter wheat (O-W), soybean-winter wheat (S-W), and vetch-winter wheat (V-W) were 10348.52, 13854.15, 14679.94, and 12185.29 kg ha −1 , respectively. The average wheat EY yield values were 3777.82, 3115.19, 4020.76, and 3180.71 kg ha −1 , respectively . The average forage DM yield values were 0.00, 5497.19, 4284.64, and 2817.50 kg ha −1 , respectively. The S-W system had the highest DM yield and CP yield (1350.10 kg ha −1 ), and also had DM yield with the smallest variation (CV = 15.21%). The O-W, S-W, and V-W systems produced FEU yield values that were 48.67%, 68.46%, and 30.53%, respectively, greater than the F-W system. When considering market prices and yields, the S-W system increased wheat gain yield and had the highest WE yield (6607.90 kg ha −1 ). Therefore, in consideration of forage quality, winter wheat production, and system productivity, we recommend the S-W system for local farmers on the Loess Plateau.