The conversion of lignocellulose into renewable energy is promising to alleviate the energy crisis caused by the over-exploitation of fossil fuels. Based on a closed-circuit circulation process, the wheat straw was converted into ethanol, methane and organic fertilizer on a pilot scale in this study. Subcritical water pretreatment was performed to destroy the resistant structure of wheat straw. The hemicellulose reduced from 17.65% to 1.05-3.06%, and the cellulose and lignin increased from 26.87% and 42.91% to 30.01-30.02% and 58.39-67.01%, respectively, after pretreatment. The pretreated wheat straw was converted into ethanol with the concentration of 7.54 g/L in SSF-1, and 6.97 g/L of ethanol was obtained in SSF-2, which was 7.56% lower than the SSF-1. Compared with the fermentation, enzymatic hydrolysis had a more profound impact on conversion efficiency of bioethanol. The pretreatment waste liquor and fermentation residue were collected to produce methane and organic fertilizer by anaerobic digestion. The total volumes of methane in SSF-1 and SSF-2 were 756.90 L and 336.42 L, respectively. The solid residue after anaerobic digestion met the technical requirements of organic fertilizer, while the supernatant was suppressive for subcritical water pretreatment and bioethanol conversion when it was reused for next conversion process. The mass balance of subcritical water pretreatment, ethanol conversion and anaerobic digestion was conducted for SSF-1 and SSF-2, and the yields of ethanol, organic fertilizer and biogas were 0.08-0.09 g/g (wheat straw), 0.55-0.79 g/g (mixture constituted of wheat straw and sludge) and 0.05-0.10 L/g (mixture constituted of wheat straw and sludge), respectively. However, the economic efficiency of the conversion process is low under the present conditions, and some measures should be taken to improve economic efficiency in the future.