The present study was conducted with twenty bread wheat genotypes at the experimental field of Bangladesh Agricultural University (BAU), Mymensingh, during the period from November 2008 to March 2009 to assess the relationship and selection index among yield and important yield attributing characters. Days to maturity, grains per spike, 100-grain weight and harvest index showed significant and positive correlation with grain yield per plant. Path coefficient analysis suggested that grains per spike followed by 100-grain weight and effective tillers per plant contributed maximum to grain yield positively and directly. Thus, selection based on these characters might be effective for improving grain yield. Selection indices were constructed through the discriminate functions using eight characters. From the results, the highest relative efficiency was observed with the selection index based on three characters; plant height and grains per spike and grain yield per plant. The present investigation indicates that the index selection based on these three characters might be more effective and efficient for selecting high yielding wheat genotypes.