As one of the most important inland rivers in China, the shortage of water resources and ecological deterioration of the Heihe River has increasingly attracted attention, and it is very significant to undertake the water resources sustainable utilization for its vulnerability assessment in the river basin. Using the pressure-state-response (PSR) model, a vulnerability index of the water resources system was developed and used to carry out a vulnerability assessment on the Heihe River in the current year (2010) and the comparison year (2003). The PSR of water resource vulnerability included 11 indexes, which are domestic water quota of urban residents, rural water quota of urban residents, million yuan GDP water consumption, per capita water consumption, ecological water proportion, drought index, per capita water resources, water modulus, water quality grade, water saving irrigation rate, per capita GDP, respectively. The vulnerability of water resources was evaluated by the attribute recognition model. The results show that water resources in the Heihe River Basin were in a quite vulnerable state in both 2003 and 2010 according to the values of scenario A1 (not vulnerable) and scenario B1 (severely vulnerable). It is urgent to protect and restore the water resources system in the Heihe River Basin.