Pearl millet is primarily grown under rainfed conditions in Sub-Saharan Africa. Early droughts are prevalent in the Sahel region, where pearl millet is widely cultivated, and they severely impact pearl millet growth and productivity by affecting plant stand and reducing plant density in the field. Consequently, genetic improvement for early drought tolerance is a promising strategy to enhance productivity in these regions. This study aims to identify pearl millet lines that are tolerant to water stress at the seedling stage by assessing various water-stress-tolerance traits. Two hundred pearl millet inbred lines were screened for drought tolerance by inducing water stress with polyethylene glycol 6000 (PEG 6000) in the laboratory. The experiment was repeated in the greenhouse using pot screening. The experimental design was an alpha lattice with 10 entries × 20 blocks in two replications. Four treatments (0 g/L, 115 g/L, 235 g/L, 289 g/L) were applied in the laboratory: one control and three concentrations of PEG 6000. Control and stress were applied in the greenhouse. Data were collected on germination rate and growth parameters, including root and seedling length, leaf length and width, and chlorophyll content. Results revealed significant differences among the pearl millet inbred lines under both drought and well-watered conditions. The inbred lines IP-16403 and IP-18062 were the most tolerant in both the greenhouse and laboratory. Water stress significantly reduced plant growth, although an increase in root length was observed in some lines. The number of days to 50% emergence was positively and strongly correlated with survival time (+0.45), while leaf width was negatively correlated with survival time (−0.29) and water stress tolerance (−0.37). The drought-tolerant and drought-susceptible pearl millet inbred lines identified in this study provide valuable genetic resources for enhancing pearl millet productivity in arid and semi-arid environments, especially in the face of unpredictable climate variability.