AbstractCompound events are extreme impacts that depend on multiple variables that need not be extreme themselves. In this study, we analyze soil moisture drought as a compound event of precipitation and potential evapotranspiration (PET) on multiple time scales related to both meteorological drought and heat waves in wet, transitional, and dry climates in Europe during summer. Drought indices that incorporate PET to account for the effect of temperature on drought conditions are sensitive to global warming. However, as evapotranspiration (ET) is moisture limited in dry climates, the use of such drought indices has often been criticized. We therefore assess the relevance of the contributions of both precipitation and PET to the estimation of soil moisture drought. Applying a statistical model based on pair copula constructions to data from FluxNet sites in Europe, we find at all sites that precipitation exerts the main control over soil moisture drought. At wet sites PET is additionally required to explain the onset, severity, and persistence of drought events over different time scales. At dry sites, where ET is moisture limited in summer, PET does not improve the estimation of soil moisture. In dry climates, increases in drought severity measured by indices incorporating PET may therefore not indicate further drying of soil but the increased availability of energy that can contribute to other environmental hazards such as heat waves and wildfires. We therefore highlight that drought indices including PET should be interpreted within the context of the climate and season in which they are applied in order to maximize their value.