The intensive use of nitrogen fertilizer has been a common approach for pursuing higher crop yields. However, the ecological effects of such use on the tritrophic interactions (crop–insect pest–natural enemy) and on the ecological and economic benefits of such use are poorly understood. Here, we investigated the effects of low, medium, and high levels of nitrogen fertilizer inputs (70, 140, and 280 kg/ha/yr) on cereal aphid (Sitobion avenae Fabricius [Hemiptera: Aphididae], Schizaphis graminum Rondani [Hemiptera: Aphididae], and Rhopalosiphum padi L. [Hemiptera: Aphididae]) abundance, primary parasitism rates, crop yield, and net income in winter wheat (Triticum aestivum [Poales: Poaceae] cv. Zhou 22) for 2 yr. A higher input of nitrogen fertilizer significantly enhanced the abundance of cereal aphids, while their primary parasitism rates (26.9 ± 3.5% in 2018 and 24.9 ± 4.5% in 2019) were highest at the medium nitrogen level. The performance of participants in the wheat–aphids–parasitoids system was likewise mediated by the nitrogen fertilizers. Meanwhile, wheat yield significantly increased with moderate increases in the nitrogen level, although overuse of nitrogen fertilizer did not significantly further enhance wheat yield. Finally, we found either low or overuse of nitrogen fertilizers resulted in lower net income than did medium nitrogen fertilization. These results demonstrate the need to reevaluate and adjust fertilizer use to optimize the eco-economic and sustainable management of agroecosystems.