<p>Water, energy, and food (WEF) are essential resources that sustain economic growth, while economic development, in turn, increases the demand for WEF and strengthens the interconnections within the WEF nexus. However, these interactions between the components of the WEF nexus and the economy, as well as their static and dynamic relationships, have been largely overlooked. Using panel data of China’s 30 provinces from 2005 to 2019, this paper adopts a panel vector autoregressive model to estimate and analyze the static and dynamic relationships between the WEF nexus and the economic system at the component level. The WEF nexus is divided into water (W), energy (E), food (F), water-energy (WE), energy-food (EF), water-food (WF), and WEF components. The results show that all components of WEF nexus have significant static relationships with the economic system, while the economic system exerts significant relationships with the W, F, WE, and WEF component. Then, the convergence period following the unexpected shocks is shorter in the individual components of W, E, and F than in the coupled WE, EF, WF, and WEF components, indicating faster responses of these individual components. Furthermore, the WEF component is mainly influenced by the economic system (68.65%), whilst the economic system is primarily influenced by its own shocks (77.82%), revealing that the economic system acts as the main force behind the WEF nexus, rather than the other way round. The results of this study provide a better understand of the interaction mechanism between the WEF nexus and the economic system.</p>