[Objective] Vegetation interception and soil water-holding capacity were analyzed in order to provied a scientific basis for systematically evaluating the soil and water conservation functions of semi-arid shrub-encroached grasslands. [Methods] Characteristics of vegetation interception (including canopy and litter layer), soil water-holding capacity of the primary grassland and shrub-encroached grassland (including grass patch, sub-shrub patch, and shrub patch) were measured on the Loess Plateau. [Results] ① The capacity of canopy interception in shrub patches was increased by 0.3 mm with the increasing of aboveground biomass, while the capacity of litter interception was decreased by 0.5 mm through reduction in the litter biomass. ② During shrub encroachment, only shrub patches significantly improved soil water-holding capacity. Moreover, there were significant differences in soil water-holding capacity between sub-shrub and shrub patches. Compared with sub-shrub patches, the capacity of shrub patches was enhanced by 12.8 mm, and the increase mainly occurred in the surface soil (0—20 cm). [Conclusion] Shrub encroachment did not reduce the potential soil water-holding capacity. However, if shrubs continue to expand in area coverage, the interception ability of grassland ecosystem by canopy and litter layer might be weaken.