To determine the effects of different tillage practices on soil biochemical properties and grain yield of winter wheat under continuous maize straw return, we conducted a five-year field experiment from October 2011 to June 2016. Four treatments were compared, which were continuously rotary tillage with total maize straw removed (RT), continuously rotary tillage with maize straw return (RS), continuously deep-plowing tillage with maize straw return (DS), and two-year rotary tillage followed by one-year deep-plowing tillage with maize straw return (TS). Compared with RT, treatments with straw return significantly improved the soil fertility in the 0–10, 10–20, and 20–30 cm depths, increasing contents of soil organic carbon, mineral nitrogen, available phosphorus and available potassium. In addition, the activities of urease, protease, nitratase, and invertase, as well as soil microbial diversity in the 0–30 cm depth increased by 23.1%–59.3%, 13.2%–40.7%, 14.1%–28.8%, 10.9%–19.5%, and 31.9%–42.5%, respectively. Straw return resulted in significant increases in relative abundances of Proteobacteria, Nitrospirae, and Actinobacteria and significant decrease in that of Acidobacteria. In the three treatments with straw return, vertical distribution of soil fertility was affected by tillage practice. For example, the soil fertility and bioactivity in the 0–10 cm depth were significantly higher in RS than in DS and TS, whereas those in the 10–30 cm depth were significantly lower in RS than in DS and TS. Consecutively rotary tillage for three years resulted in yield decrease of wheat, whether straw returned to the field or not. In contrast, DS and TS with deep-plowing practice showed continuous yield increase during the five years with the average annual increase of 3.2% and 3.9%, respectively. The present study indicates that under straw return condition, two-year rotary tillage followed by one-year deep-plowing tillage is a promising pattern in the eastern part of Huang–Huai–Hai Plain to improve soil quality and wheat productivity.