Drought and heat stress cause losses in wheat productivity in major growing regions worldwide, and both the occurrence and the severity of these events are likely to increase with global climate change. Water deficits and high temperatures frequently occur simultaneously at sensitive growth stages, reducing wheat yields by reducing grain number or weight. Although genetic variation and underlying quantitative trait loci for either individual stress are known, the combination of the two stresses has rarely been studied. Complex and often antagonistic physiology means that genetic loci underlying tolerance to the combined stress are likely to differ from those for drought or heat stress tolerance alone. Here, we review what is known of the physiological traits and genetic control of drought and heat tolerance in wheat and discuss potential physiological traits to study for combined tolerance. We further place this knowledge in the context of breeding for new, more tolerant varieties and discuss opportunities and constraints. We conclude that a fine control of water relations across the growing cycle will be beneficial for combined tolerance and might be achieved through fine management of spatial and temporal gas exchange.