An unpolluted process of wheat straw fractionation by steam explosion coupled with ethanol extraction was studied. The wheat straw was steam exploded for 4.5 min with moisture of 34.01%, a pressure of 1.5 MPa without acid or alkali. Hemicellulose sugars were recovered by water countercurrent extraction and decolored with chelating ion exchange resin D412. The gas chromatography (GC) and high-performance liquid chromatography (HPLC) analysis results indicated that there were organic acids in the hemicellulose sugars and the ratio of monosaccharides to oligosaccharides was 1:9 and the main component, xylose, was 85.9% in content. The total recovery rate of hemicellulose was 80%. Water washed materials were subsequently extracted with ethanol. The optimum extraction conditions in this work were 40% ethanol, fiber/liquor ratio 1:50 (w/v), severity log(R) = 3.657 (180 °C for 20 min), 0.1% NaOH. The lignin yield was 75% by acid precipitation and 85% ethanol solvent was recovered. The lignin was purified using Björkman method. Infrared spectrometry (IR) results indicated that the lignin belonged to GSH (guaiacyl (G) syringyl (S) and p-hydroxyphenyl (H)) lignin and its purity rate reached 85.3%. The cellulose recovery rate was 94% and the results of electron spectroscopy for chemical analysis (ESCA) and infrared spectrometry (IR) showed that hemicellulose and lignin content decreased after steam explosion and ethanol extraction.