Wheat grains are susceptible to contamination with various natural mycotoxins including regulated and emerging mycotoxins. This study surveyed the natural presence of regulated mycotoxins, such as deoxynivalenol (DON) and zearalenone (ZEN), and emerging mycotoxins such as beauvericin (BEA), enniatins (ENNs such as ENA, ENA1, ENB, ENB1) and Alternaria mycotoxins (i.e., alternariol monomethyl ether (AME), alternariol (AOH), tenuazonic acid (TeA), tentoxin (TEN), and altenuene (ALT)) in wheat grains randomly collected from eight provinces across China in 2021. The results revealed that each wheat grain sample was detected with at least one type of mycotoxin. The detection rates of these mycotoxins ranged from 7.1% to 100%, with the average occurrence level ranging from 1.11 to 921.8 µg/kg. DON and TeA were the predominant mycotoxins with respect to both prevalence and concentration. Approximately 99.7% of samples were found to contain more than one toxin, and the co-occurrence of ten toxins (DON + ZEN + ENA + ENA1 + ENB + ENB1 + AME + AOH + TeA + TEN) was the most frequently detected combination. The dietary exposure to different mycotoxins among Chinese consumers aged 4–70 years was as follows: 0.592–0.992 µg/kg b.w./day for DON, 0.007–0.012 µg/kg b.w./day for ZEN, 0.0003–0.007 µg/kg b.w./day for BEA and ENNs, 0.223–0.373 µg/kg b.w./day for TeA, and 0.025–0.041 µg/kg b.w./day for TEN, which were lower than the health-based guidance values for each mycotoxin, with the corresponding hazard quotient (HQ) being far lower than 1, implying a tolerable health risk for Chinese consumers. However, the estimated dietary exposure to AME and AOH was in the range of 0.003–0.007 µg/kg b.w./day, exceeding the Threshold of Toxicological Concern (TTC) value of 0.0025 µg/kg b.w./day, demonstrating potential dietary risks for Chinese consumers. Therefore, developing practical control and management strategies is essential for controlling mycotoxins contamination in the agricultural systems, thereby ensuring public health.