In arid and semi-arid regions, desertification threatens crop production because it reduces the soil’s capacity to retain water and soil nutrients. At two fertilizer levels (90 kg N hm⁻² and 45 kg P hm⁻² and 270 kg N hm⁻² and 135 kg P hm⁻²), the effects of soft rock (sand: soft rocks = 3:1) and biochar (4500 kg hm⁻²) applications on soil moisture, soil nutrients, and millet (Setaria italica L.) photosynthesis, yield, and its agronomic traits (biomass, thousand kernel weight, harvest index) were investigated in a field experiment in the Mu Us Sandy Land of China in 2018–2019. The addition of biochar and soft rock singly increased soil water content, alkali-hydrolyzed nitrogen (AN), total nitrogen (TN) and phosphorus (TP), and organic matter content significantly, suggesting that their application may increase the nutrient and water holding capacity of soil. Application of biochar and soft rock singly increased the net photosynthesis rate of millet flag leaf, at the flowering stage, from 15.97% to 56.26%. Biochar and soft rock application increased the yield range (2109.0 kg hm⁻² to 5024.7 kg hm⁻²) from 5.26% to 54.60% under the same fertilizer level. Correlation analyses showed grain yield was significantly correlated with photosynthesis rate at the flowering stage, which was significantly correlated with soil AN at flowering, soil TP at flowering and harvest, and soil TN at flowering. These results indicated that the application of biochar and soft rock singly could increase soil fertilizer holding capacity to improve the photosynthesis rate at flowering, and, therefore, lead to improvements in crop yield.