Water shortage and food security have posed significant challenges to the sustainable management of water-food-energy (WFE) nexus. In this study, a fixed-mix joint-probabilistic constraints programming (FJCP) approach is developed for obtaining the sustainable WFE strategies. Then, a FJCP-WFE model is formulated with considering 36 scenarios. Results reveal that (i) system benefit and total water allocation would increase with the rising α as well as decreasing p levels, and decision makers can obtain the compromise among system violation risk, economic benefit and water consumption by varying p and α levels; (ii) the changing α level would influence water allocation structure, where the proportion of agricultural water would decrease by 4.9% from α = 0.47 to α = 0; (iii) the system benefit and total water allocation of FJCP would be lower than those of FCCP, with reductions of 0.001–0.04% and 1.92–5.32%, respectively. Results indicate that FJCP method is suitable for arid areas, which can find more practical alternatives for the WFE nexus system management, and promote regional sustainable development.