Proso millet (Panicum miliaceum L.) is resilient to abiotic stress, especially to drought. However, the mechanisms by which its roots adapt and tolerate salt stress are obscure. In this study, to clarify the molecular mechanism of proso millet in response to drought stress, the physiological indexes and transcriptome in the root of seedlings of the proso millet cultivar 'Yumi 2' were analyzed at 0, 0.5, 1.0, 1.5, and 3.0 h of stimulated drought stress by using 20% PEG-6000 and after 24 h of rehydration. The results showed that the SOD activity, POD activity, soluble protein content, MDA, and O2-· content of 'Yumi 2' increased with the time of drought stress, but rapidly decreased after rehydration. Here, 130.46 Gb of clean data from 18 samples were obtained, and the Q30 value of each sample exceeded 92%. Compared with 0 h, the number of differentially expressed genes (DEGs) reached the maximum of 16,105 after 3 h of drought, including 9153 upregulated DEGs and 6952 downregulated DEGs. Gene Ontology and Kyoto Encyclopedia of Genes and Genomes pathway analyses revealed that upregulated DEGs were mainly involved in ATP binding, nucleus, protein serine/threonine phosphatase activity, MAPK signaling pathway-plant, plant-pathogen interactions, and plant hormone signal transduction under drought stress, while downregulated DEGs were mainly involved in metal ion binding, transmembrane transporter activity, and phenylpropanoid biosynthesis. Additionally, 1441 TFs screened from DEGs were clustered into 64 TF families, such as AP2/ERF-ERF, bHLH, WRKY, NAC, MYB, and bZIP TF families. Genes related to physiological traits were closely related to starch and sucrose metabolism, phenylpropanoid biosynthesis, glutathione metabolism, and plant hormone signal transduction. In conclusion, the active oxygen metabolism system and the soluble protein of proso millet root could be regulated by the activity of protein serine/threonine phosphatase. AP2/ERF-ERF, bHLH, WRKY, NAC, MYB, and bZIP TF families were found to be closely associated with drought tolerance in proso millet root. This study will provide data to support a subsequent study on the function of the drought tolerance gene in proso millet.