Droughts occur naturally, but climate change has generally accelerated the hydrological processes to make them set in quicker and become more intense, with many consequences, not the least of which is increased wildfire risk. There are different types of drought being studied, such as meteorological, agricultural, hydrological, and socioeconomic droughts; however, a lack of unanimous definition complicates drought study. Drought indices are used as proxies to track and quantify droughts; therefore, accurate formulation of robust drought indices is important to investigate drought characteristics under the warming climate. Because different drought indices show different degrees of sensitivity to the same level of continental warming, robustness of drought indices against change in temperature and other variables should be prioritized. A formulation of drought indices without considering the factors that govern the background state may lead to drought artifacts under a warming climate. Consideration of downscaling techniques, availability of climate data, estimation of potential evapotranspiration (PET), baseline period, non-stationary climate information, and anthropogenic forcing can be additional challenges for a reliable drought assessment under climate change. As one formulation of PET based on temperatures can lead to overestimation of future drying, estimation of PET based on the energy budget framework can be a better approach compared to only temperature-based equations. Although the performance of drought indicators can be improved by incorporating reliable soil moisture estimates, a challenge arises due to limited reliable observed data for verification. Moreover, the uncertainties associated with meteorological forcings in hydrological models can lead to unreliable soil moisture estimates under climate change scenarios.