The alert came into force just after 8am and will be in effect until midday covering parts of Gloucester, Bath, Salisbury and Newport.
Forecasters warned of difficult driving conditions, a small chance of homes and businesses experiencing power cuts, being flooded or getting damaged by water, lightning strikes, hail or strong winds, and potential disruption to train and bus services.
A band of heavy rain and thunderstorms is due to move north across the affected area, with some places potentially seeing 30-40mm of downpour and frequent lightning and hail, according to the Met Office.
Meteorologist Ellie Glaisyer said: "It's a very windy start for many of us out there this morning particularly across the west where we've seen some coastal gales and we'll continue to see some very strong winds as we go throughout much of Sunday.
"A bit of a brighter start across eastern areas this morning, plenty of hazy sunshine on offer through the afternoon but further west a bit of a wetter picture.
"Some outbreaks of heavy, showery rain push their way northwards as we go through this afternoon."
It comes before a total lunar eclipse "blood moon", which is expected to be visible in parts of England and Wales on Sunday night.
The moon is to turn a deep, dark red - sometimes called a "blood moon" - as the Earth passes directly between the sun and the moon, casting its shadow across the lunar surface, for the first time since 2022.
Where skies are clear, the eclipse will be visible at around 7.30pm.