Wheat (Triticum aestivum L.) production is vital to global food security. Climate change is threatening sustainable wheat production not only with direct negative effects on crop growth but also with a profound impact on pest biology and management. This review presents a critical analysis of the impact of key climate change elements, including drought, high temperature and increased atmospheric carbon dioxide levels on biology, ecology and behaviour of wheat pests. Climate change is expected to favour the growth, virulence, multiplication, persistence and range expansion of most serious wheat pests. Rapid climatic changes are opening new geographic windows for disease outbreaks, insect attacks and weed infestations in wheat crops across the globe. Wheat–pest interactions are also favourable for pests in most cases where one or more climate change elements come into play. Existing pest management options are not successful under these circumstances. Climate change has a direct negative effect on the efficacy of existing control options, which increases pest virulence and their competitive ability, pest resistance to pesticides and pest–environment interactions, leading to inadequate pest control and substantial crop yield losses. Integrated pest management approaches, based on innovative and traditional pest control strategies, may be more appropriate in the changing climate. Proactive measures, including early detection and eradication by frequent pest-scouting, preventive control, and forecasting of potential outbreaks or new introductions by predictive modelling, could help in this regard. A better understanding of the changing pest biology, interactions and management strategies presented here is inevitable for successful pest management and sustainable wheat production under the changing climate.