Drought is one of the major natural hazards with a possibly devastating impact on the regional environment, agriculture, and water resources. Previous studies have assessed the historic changes in meteorological drought over various regional scales but have rarely considered hydrological drought due to limited hydrological observations. Here, we use long-term (1960–2012) hydro-meteorological data to analyze the meteorological and hydrological drought comparatively in the Pearl River basin (PRB) in southern China using the standardized precipitation index (SPI) and the standardized runoff index (SRI). The results indicate a strong positive correlation between the SPI and SRI, and the correlation tends to be stronger at the longer timescale. The SPI is reliable to substitute for the SRI to represent the hydrological drought at the long-term scale (e.g., 12 months or longer). Trend analysis reveals a noticeably wetting trend mainly in the eastern regions and a significant drying trend mainly in the western regions and the downstream area of the PRB. The drought frequency is spatially heterogeneous and varies slightly at the interannual scale. Overall, the drought is dominated by noticeable cycles of shorter periodicity (0.75–1.8 years), and periodic cycles in the meteorological drought are mainly responsible for those in the hydrological drought.