In this study, a novel on-site torrefaction method was proposed for the pretreatment of wheat straw, in which the wheat straw was placed in an enclosed environment for torrefaction. The effects of different torrefaction conditions on the properties of both solid and gaseous products were investigated. When the temperature of enclosed torrefaction increased from 200 °C to 250 °C, the higher heating value, fixed carbon and C content of wheat straw increased by 12.7%, 80.3% and 18.1%, respectively, and the moisture decreased by 25.0%. Enclosed torrefaction causes more mass loss due to the smoldering of wheat straw, and a strong decomposition of the hemicellulose of wheat straw during the torrefaction process. The gaseous products obtained by enclosed torrefaction have fewer acids and more esters than conventional torrefaction. Compared with conventional torrefaction, enclosed torrefaction performs similarly, or even better, in improving the properties of wheat straw.