Assessing water resources vulnerability is the foundation of local water resources management. However, as one of the major water systems in China, there is no existing evaluation index system that can effectively assess water resource vulnerability for the Huai River basin. To address this issue, we identified key vulnerability factors, constructed an evaluation index system, and applied such system to evaluate water resources vulnerability for the Huai River basin empirically in this paper. Specifically, our evaluation index system consists of 18 indexes selected from three different aspects: water shortage, water pollution, and water-related natural disaster. Then, the improved blind deletion rough set method was used to reduce the size of the evaluation index while keep the evaluation power. In addition, the improved conditional information entropy rough set method was employed to calculate the weights of evaluation indexes. Based on the reduced index system and calculated weights, a rough set cloud model was applied to carry out the vulnerability evaluation. The empirical results show that the Huai River basin water resources were under severe vulnerability conditions for most of the time between 2000 and 2016, and the Most Stringent Water Resources Management System (MS-WRMS) established in 2012 did not work effectively as expected.