Display omitted •An indoor artificial simulated wind-driven rain simulator was constructed.•Soil erosion and nitrogen loss are significantly influenced by wind-driven rain.•Effect of wind direction on soil and nitrogen loss may be positive or negative.•Changes of hydrological characteristics are the main reasons for the loss processes. “Wind-driven rain” is the main form of natural rainfall. Wind affects runoff, soil, and nutrient loss processes on slopes by changing rainfall characteristics. Wind direction is one of the main factors affecting the falling trajectory of raindrops, raindrop splash angle, and direction of the rainfall erosivity force. However, existing research on soil displacement and nitrogen loss driven by different wind directions and rainfall is still lacking. Based on a simulated wind-driven rain experiment, this study explored the influence of different wind directions (leeward, windward, and crosswind) on runoff, sediment yield, and nitrogen loss on slopes. The results showed that wind direction had a significant influence on runoff, sediment yield, and nitrogen loss in both runoff and sediment. The influence of wind direction on the slope runoff and sediment yield rates was leeward > crosswind > windless > windward. Compared with windless rainfall, the average runoff rate and sediment yield rate under leeward rainfall and crosswind rainfall increased by 6.17%–11.56% and 37.75%–41.58%, and 1.80%–2.40% and 13.31%–18.12%, respectively, while under windward rainfall, they decreased by 5.13%–7.38% and 7.86%–13.02%, respectively. Hydrodynamic parameters are physical parameters that characterize the process of sand-bearing shallow flow acting on surface soil particles. The mean flow velocity and unit stream power affected by the wind direction were ranked: leeward > windless > crosswind > windward. The mean flow velocity and unit stream power under leeward conditions were both 1.31 times those under windless conditions, indicating that leeward wind strengthened the erosion effect of the slope flow on the soil. The mean flow velocity and unit stream power caused by different wind directions may be the main reasons for soil erosion processes. The average nitrogen loss rate in runoff was ranked: windward > crosswind > windless > leeward. The law of nitrogen loss rate in the sediment is consistent with the regularity of the sediment yield rate in all wind directions, which increased respectively by 60.18%–163.86% and 19.39%–69.57% under leeward and crosswind conditions, respectively, and decreased by 10.23%–25.15% under windward conditions when compared to windless treatment. Therefore, when the intensity of wind-driven rain is constant, the impact of wind direction on slope runoff, sediment yield, and nitrogen loss is uncertain and may be either positive or negative. The angle between the raindrop movement direction and the runoff flow direction on the slope changes owing to the influence of different wind directions. This leads to changes in the slope infiltration rate, hydrological characteristics, and soil crusting process, and is one of the main reasons for the difference in soil erosion and nutrient loss rates.