It is not clear whether the changing climate in Europe will be favourable for crop yield in the future. In this study, we quantified the yield gap for the year 2000 and analyzed the sensitivity of the rain-fed potential yield of winter wheat to changes in temperature, precipitation, and CO₂ across Europe. The ecosystem model ANTHRO-BGC was used to simulate potential yields; actual winter wheat yield data together with modelled potential yields were used to calculate yield gap. Artificial climate scenarios for the main climate factors used in sensitivity studies were generated according to climate scenarios from the IPCC 4th Assessment Report (AR4). We found that there is currently a large yield gap in Eastern Europe (around 6 t ha⁻¹), whereas in a few developed countries in Western Europe the harvested yield approaches potential yield (around 2 t ha⁻¹). Sensitivity analysis indicates that the rain-fed potential yield could increase by about 14% in Europe, under the assumption that the changes in temperature and precipitation will be the same as those projected for 2050 from AR4, and that CO₂ will increase from 380 to 550 ppm. This increase in projected potential yield is mainly due to fertilization effects caused by increasing atmospheric CO₂ concentrations (15% yield increase), whereas the projected changes in temperature and precipitation will negatively (−1%) affect the rain-fed potential yield in Europe.