Wheat gluten peptides (WGPs), identified as Leu-Leu (LL), Leu-Leu-Leu (LLL), and Leu-Met-Leu (LML), were tested for their impacts on cell growth, membrane lipid composition, and membrane homeostasis of yeast under ethanol stress. The results showed that WGP supplementation could strengthen cell growth and viability and enhance the ethanol stress tolerance of yeast. WGP supplementation increased the expressions of OLE1 and ERG1 and enhanced the levels of oleic acid (C18:1) and ergosterol in yeast cell membranes. Moreover, LLL and LML exhibited a better protective effect for yeast under ethanol stress compared to LL. LLL and LML supplementation led to 20.3 ± 1.5% and 18.9 ± 1.7% enhancement in cell membrane fluidity, 21.8 ± 1.6% and 30.5 ± 1.1% increase in membrane integrity, and 26.3 ± 4.8% and 27.6 ± 4.6% decrease in membrane permeability in yeast under ethanol stress, respectively. The results from scanning electron microscopy (SEM) elucidated that WGP supplementation is favorable for the maintenance of yeast cell morphology under ethanol stress. All of these results revealed that WGP is an efficient enhancer for improving the ethanol stress tolerance of yeast by regulating the membrane lipid composition.