The warning is for winds between 8am and 7pm today.
A Met Office spokesman said: "A spell of strong and gusty winds is expected to move eastwards during Thursday.
"Some delays to road, rail, air and ferry transport are likely with some journeys taking longer.
"Delays for high-sided vehicles on exposed routes and bridges are also possible. There is also the potential for some short term loss of power supplies."
In Sheffield, rain is expected this morning and it could be heavy at times.
It should dry up from around 11am before more rain arrives from 3pm onwards.
Temperatures are set to reach a high of 9C.