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Water is a key limiting factor influencing plant growth and development in arid ecosystem. To explore the mechanisms of the desert plant Alhagi sparsifolia seedlings to tolerate drought stress in extreme desert, an experiment was conducted from July to September in 2010 with four water treatments: 100% (W-100), 80% (W-80), 60% (W-60) and 45% (W-45) of water holding capacity (WHC). Plant growth, photosynthesis, nutrient content and water use efficiency (WUE) were measured. The results showed that plant growth, branch number, biomass allocation, number of leaves and area per leaf as well as leaf area ratio with drought stress treatments (W-80, W-60 and W-45) decreased than W-100 treatment, while root/shoot ratio and specific leaf area increased gradually throughout the experimental duration. Furthermore, photosynthetic pigment content, light-saturated photosynthetic rate, and concentration of carbon and nitrogen in plant significantly decreased with increasing drought stress. The WUE at W-100 and W-80 treatments increased significantly at the beginning of drought stress treatment and then reduced with stress prolonged. In conclusion, the desert plant A. sparsifolia can tolerate the progressive drought stress due to the strong plasticity of morphological and physiological traits. The critical level of soil WHC to limit the growth and dry mass production of A. sparsifolia seedlings in the southern fringe of the Taklimakan Desert was approximately at 45%.