Abscisic acid (ABA) plays a central role in the plant response to water deficit by inducing stomatal closure to conserve water when the soil dries. Exogenous ABA was applied at 45 days after sowing (DAS) as a soil drench, the physiological and seed yield response of soybean to exogenous ABA were examined as the soil was drying. Three experiments were conducted using the drought-tolerant soybean cultivar Jindou 19, grown in pots at the Yuzhong Experimental Station of Lanzhou University, China. In experiment 1, plants were exposed to progressive soil drying and leaf ABA concentration, leaf photosynthesis rate, leaf relative water content (RWC) and osmotic adjustment (OA) were measured. In experiment 2, plants were under progressive soil drying and lethal leaf water potential was measured. In experiment 3, flower production and abortion, and grain yield were measured in plants under well-watered (WW), moderate (MWD) and severe water deficits (SWD). Exogenous ABA application increased ABA accumulation in leaves and reduced the rate of soil drying. It also increased leaf photosynthetic rate, stomatal conductance and transpiration rate at 7–10 days after withholding water. The intrinsic and instantaneous water use efficiency (WUE) was consistently higher with exogenous ABA than without ABA as the soil dried. Exogenous ABA increased OA when the leaf relative water content (RWC) decreased at eight days after withholding water, lowering the lethal leaf water potential by 0.4 MPa. Exogenous ABA reduced water use, increased WUE for grain yield under WW and MWD, and had no effect on flower number, flower abortion or grain yield in any water treatment. We concluded that (1) exogenous ABA induced OA, improved leaf photosynthetic rate, leaf water relations and desiccant tolerance, but did not benefit grain yield in soybean under water deficits; (2) exogenous ABA improved the WUE at the leaf level as soil drying and WUE for grain yield under moderate water deficit.