In the context of population growth and increasingly scarce resources, the sustainability of water-energy-food nexus (WEFN) has been considered as a major global challenge. This study presented the evaluation index system of WEFN security based on the pressure-state-response (PSR) model. The set pair analysis and variable fuzzy sets (SPA-VFS) were supplied to evaluate WEFN security, which analyzed the situation and obstacles of WEFN security in Northwest China from 2008 to 2017. The results showed that, (1) In the WEFN, the pressure-subsystem in Shaanxi and Inner Mongolia was in a critical safe level; in the state-subsystem, the security level of Shaanxi was the best and the response-subsystem in Inner Mongolia and Gansu is in an unsafe level; (2) Over the years, the safety level of WEFN in the five provinces of Northwest China had obvious spatio-temporal characteristics, which was always between critical safety and unsafety, but the overall trend was positive. (3) The results of obstacle degree of three subsystems were compared as follows: pressure-subsystem state-subsystem response-subsystem. And, their obstacle factors were almost all related to water. The key to improving WEFN security in Northwest China in the future is to deal with the serious mismatch between water resources and energy resources.