Using lignocellulosic raw materials as substrate for biotechnological applications has been a focus of research during the last two decades. They contain sugars, which can be used in industrial fermentation processes, in from of polysaccharides (cellulose, hemicellulose). Wheat straw, one representative of lignocellulosic materials, is sustainably and abundantly available, especially in Europe and North America. However, wheat straw, just like any other lignocellulosic material, needs to be pretreated in one way or the other in order to generate sufficient quantities of monosaccharides. One widely used pretreatment for lignocellulosic material is steam explosion combined with enzymatic hydrolysis. In this study, the effects of steam exploding wheat straw in combination with water are presented. By impregnation with water, saccharide yields from subsequent enzymatic hydrolysis increased from 18.8 to 22.6 g L−1 for glucose and 13.8 to 16.4 g L−1 for xylose, respectively. Moreover, the basic steam explosion parameters residence time and temperature were optimized in ranges from 5 to 20 min and 180–200 °C. This further optimization increased the maximum saccharide yield to 41.2 g L−1 for glucose (200 °C, 15 min) and 18.9 g L−1 for xylose (190 °C, 10 min). Finally, the growth of the intensively investigated biotechnological production host Yarrowia lipolytica on hydrolysates derived from different steam explosion parameters was evaluated. Y. lipolytica grew well in media containing up to 90% wheat straw hydrolysate as sole carbon source, demonstrating the potential as substrate for biotechnological processes.