The terrestrial water cycle is important for the arid regions of central Asia (CA). In this study, the spatiotemporal variations in the three climate variables [temperature (TMP), precipitation (PRE), and potential evapotranspiration (PET)] and terrestrial water cycle components [soil moisture (SM), snow water equivalent (SWE), runoff, terrestrial water storage (TWS), and groundwater storage (GWS)] of CA are comprehensively analyzed based on multiple datasets from 2003 to 2020. The major results are as follows: (1) Significant decreasing trends were observed for the TWS anomaly (TWSA) and GWS anomaly (GWSA) during 2003–2020, indicating serious water resource depletion. The annual linear trend values of TWSA and GWSA are −0.31 and −0.27 mm/a, respectively. The depletion centers are distributed over most areas of western and southern Kazakhstan (KAZ) and nearly all areas of Uzbekistan (UZB), Kyrgyzstan (KGZ), and Tajikistan (TJK). (2) TMP and PET have the largest significant negative impacts on SM and SWE. The PRE has a positive impact on terrestrial water variations. (3) During 1999–2019, water withdrawal did not significantly increase, whereas TWS showed a significant decreasing trend. Our results provide a comprehensive analysis of the basic TWS variation that plays a significant role in the water resource management of CA.