Nuclear magnetic resonance gyroscopes have the potential to outperform other kinds of gyroscopes with the merits of high precision, small volume, low consumption. Here we present a closed-loop NMRG system based on the spin-exchange optical pumping of Rb-Xe. We have established a theoretical model for the closed-loop NMRG system and obtained the transfer function. The step response, frequency response of the closed-loop NMRG system are calculated through the transfer function. We also have studied the influence of closed-loop parameters for the performance of NMRG experimentally, involving step response, frequency response, and sensitivity. The experimental results are in good agreement with the theoretical data. Our work is promising in improving the performance of NMRG in the future.