With global warming, drought has become one of the major environmental pressures that threaten the development of global agricultural and forestry production. Cenococcum geophilum (C. geophilum) is one of the most common ectomycorrhizal fungi in nature, which can form mycorrhiza with a large variety of host trees of more than 200 tree species from 40 genera of both angiosperms and gymnosperms. In this study, six C. geophilum strains with different drought tolerance were selected to analyze their molecular responses to drought stress with treatment of 10% polyethylene glycol. Our results showed that drought-sensitive strains absorbed Na and K ions to regulate osmotic pressure and up-regulated peroxisome pathway genes to promote the activity of antioxidant enzymes to alleviate drought stress. However, drought-tolerant strains responded to drought stress by up-regulating the functional genes involved in the ubiquinone and other terpenoid-quinone biosynthesis and sphingolipid metabolism pathways. The results provided a foundation for studying the mechanism of C. geophilum response to drought stress.