Droughts are extremely widespread natural disasters, which cause the most severe losses among natural disasters. The comprehensive drought risk in Northwest China (NWC) was evaluated based on the self-calibrating (SC) Palmer Drought Severity Index (PDSI) and copula method. The major conclusions are the following: (1) based on the rotated empirical orthogonal function (REOF), a significant consistency in the spatial distribution of the monthly averaged SC-PDSI was observed in NWC, especially in the subregions Inner Mongolia Plateau (IM), Hexi Corridor (HX), and Qiangtang Plateau (QT); (2) the largest frequency was obtained for slight drought and slight wet conditions, while extreme drought and extreme wet showed the lowest values; (3) with respect to the PDSI-th, the Clayton, Arch12, Arch12, Arch12, Arch12, and Frank played the major roles in the copula weight in the subregions IM, HX, Qinghai River Basin (QH), QT, North Xinjiang (NXJ), and South Xinjiang (SXJ), respectively. In terms of PDSI-pm, Arch12, Clayton, Gaussian, Arch12, Clayton, and Clayton dominated the weights of multi-copula functions in the regions IM, HX, QH, QT, NXJ, and SXJ, respectively; and (4) the frequency and probability of droughts in each area differed. The least drought events occurred in the QT and the most emerged in the HX for SC-PDSI.