Climate change has tremendously changed the hydrological processes with global warming. There are many uncertainties in assessing water resources vulnerability. To assess the water resources vulnerability rationally under climate change, an improved set pair analysis model is established, in which set pair analysis theory is introduced and the weights are determined by the analytic hierarchy process method. The index systems and criteria of water resources vulnerability assessment in terms of water cycle, socio-economy, and ecological environment are established based on the analysis of sensibility and adaptability. Improved set pair analysis model is used to assess water resource vulnerability in Ningxia with twelve indexes under four kinds of future climate scenarios. Certain and uncertain information quantity of water resource vulnerability is calculated by connection numbers in the improved set pair analysis model. Results show that Ningxia is higher vulnerability under climate change scenarios. Improved set pair analysis model can fully take advantage of certain and uncertain knowledge, subjective and objective information compared with fuzzy assessment model and artificial neural network model. The improved set pair analysis is an extension to the vulnerability assessment model of water resources system.