Climate change may have different impacts on different types of drought through its influence on the mechanisms of the propagation of a precipitation lack into a hydrological or agricultural drought. The involvement of additional processes in runoff and soil moisture modeling potentially leads to discrepancies in the projection uncertainties and signal-to-noise ratios between different drought types. This global study compares climate change signals, uncertainty, and signal-to-noise ratios between meteorological, hydrological, and agricultural droughts characterized by standardized precipitation index (SPI), standardized runoff index (SRI), and standardized soil moisture index (SSI), respectively. The comparison is made for five drought characteristics including median and peak intensity, median and longest duration, and frequency using 18 Coupled Model Intercomparison Project Phase 6 (CMIP6) models for four Shared Socioeconomic Pathways (SSPs) SSP1-2.6, SSP2-4.5, SSP3-7.0, and SSP5-8.5. We find that the spatial extent and magnitude in all five drought characteristics increase from meteorological to hydrological to agricultural drought. This increase manifests itself, however, at the expense of augmented uncertainty, to the extent that uncertainty for agricultural drought is up to sevenfold larger compared to meteorological drought. Despite the augmentation of uncertainty from meteorological to agricultural drought, the hierarchy of drought types for climate change signals still holds for the spatial extent of significant signal-to-noise ratios.