Wheat stripe rust caused by Puccinia striiformis f. sp. tritici (Pst) poses a great threat to wheat production worldwide. The rapid change in virulence of Pst leads to a loss of resistance in currently resistant wheat cultivars, which results in frequent disease epidemics. Therefore, a major focus is currently placed on investigating the molecular mechanisms underlying this rapid variation of pathogenicity and coevolving wheat resistance. Limited by the lack of a system for stable transformation of Pst and the difficulties in wheat transformation, it is not easy to generate deeper insights into the wheat-Pst interaction using established genetic methods. Nevertheless, considerable effort has been made to unravel the wheat-Pst interaction and significant progress is being made. Histology and cytology have revealed basic details of infection strategies and defense responses during wheat-Pst interactions, identified cellular components involved in wheat-Pst interactions, and have helped to elucidate their role in the infection process or in plant defense responses. Transcriptome and genome sequencing has revealed the molecular features and dynamics of the wheat-Pst pathosystem. Extensive molecular analyses have led to the identification of major components in the wheat resistance response and in Pst virulence. Studies of wheat-Pst interactions have now entered a new phase in which cellular and molecular approaches are being used. This review focuses on the cellular biology of wheat-Pst interactions and integrates the emerging data from molecular analyses with the histocytological observations.