High temperature and drought stress during grain formation in wheat affect grain development. Along with the increasing human population pressure are predicted increases in temperature and decline in water resources. Wheat genotypes that can better tolerate combined heat and drought stress (H + D) are needed to ensure sustainable food production. Wheat can tolerate water-deficit conditions, but few studies have investigated the associated wheat grain developmental characteristics and stress tolerance mechanisms. H + D stress disrupts meiosis, arrests cell division and expansion, damages pollen grains and the pollen sac, causes pollen sterility and shrivels anthers, reduces stigma receptivity, aborts ovules, and disrupts cell division in the central and peripheral endodermis, thus reducing the breadth and length of the endodermis. The subsequent reduction in grain sink potential eventually leads to reduced mature grain mass and shriveled grain to a considerable extent. However, genotypic variability exists for drought and heat-induced disruption and tolerance in wheat. Combined H + D tolerance can be induced through genetic engineering, agronomic practices, and marker-assisted selection. This review describes the current state of knowledge on the effect of combined H + D stress and possible management strategies to avert damage to wheat grain during grain development and maturation.