The Budyko parameter, which controls the shape of Budyko curve, represents the superimposed impact of various periodic factors (including climatic factors, catchment characteristics, large-scale climate patterns, solar activity and anthropogenic activity) on the watershed water-energy balance dynamics. However, this superimposition is not conducive to identifying the drivers of Budyko parameter dynamics at different time scales, and thus affects parameter estimation. Here we obtain the Budyko parameter ω in the Fu's equation (one form of the Budyko framework) for the Wei River Basin (WRB), and then adopt the Empirical Mode Decomposition method to reveal the relationships between factors and ω series at multiple time scales by considering the interplay among different influencing factors. Results indicate that (1) ω series are decomposed into 4-, 12-, 20-, exceeding 20-year time scale oscillations and a residual component with an significantly increasing trend in the mainstream of the WRB, a non-significantly decreasing trend in the Jing River Basin and Beiluo River Basin; (2) by analyzing the residual trend component, evaporation ratio, soil moisture and effective irrigated area are found to induce the significant increase of ω in the upstream of the WRB, whereas that in the middle and lower reaches is dominated by baseflow and Niño 3.4; (3) ω dynamics at the 4-year time scale is dominated by evaporation ratio, aridity index, baseflow and soil moisture; baseflow, Pacific Decadal Oscillation (PDO) and sunspots attribute to the dynamics at 12-year time scale; all the factors except baseflow and soil moisture contribute to the dynamics at 20- or exceeding 20-year time scales. The results of this study will help identify the connection between watershed water-energy balance dynamics and changing environment at multiple time scales, and also be beneficial for guiding water resources management and ecological development planning on the Loess Plateau.