Drought events occur more frequently under recent climate change. Generally, meteorological drought is the fuse of hydrological drought; thus, it is important to understand the characteristics of meteorological drought and its propagation to hydrological drought for early warning. Taking the Pearl River Basin (PRB) in China as study area, this study adopted K‐means cluster analysis method to divide the PRB into subregions with similar precipitation characteristics. Then, standardized precipitation index and standardized runoff index were used to analyze the characteristics of meteorological drought and hydrological drought, respectively, and the maximum Pearson correlation coefficient was used to determine the drought propagation time (DPT) between these two types of drought. Moreover, the link between meteorological drought and hydrological drought was explored based on continuous wavelet transform and cross wavelet transform. The results revealed that: the PRB has experienced severe meteorological and hydrological droughts since early 2000s, and hydrological drought was more serious than meteorological drought in each of the five subregions in the PRB. The DPTs from meteorological drought to hydrological drought were mainly 2–6 months, and the periodic characteristics of meteorological drought were mainly responsible for those of hydrological drought. Precipitation and runoff could greatly affect the DPT, while the impacts of evapotranspiration and shallow soil moisture on the DPT were not significant. Furthermore, El‐Niño Southern Oscillation and Pacific Decadal Oscillation are important factors that affect the DPT from meteorological to hydrological drought in the PRB.

Meteorological drought is the fuse of hydrological drought, and understanding the propagation mechanisms from meteorological to hydrological drought is of great significance to the monitoring and prevention of hydrological drought. Besides the linear dependence, this study thoroughly investigated the propagation from meteorological to hydrological drought by introducing the nonlinear dependence with directed information transfer index (DITI) for the first time. In this study, the standardized precipitation index and the standardized runoff index were used to represent meteorological drought and hydrological drought, respectively. A new drought response time (DRT) evaluation system was constructed based on the maximum Pearson correlation coefficient and DITI, simultaneously considering the linear and nonlinear relationships between meteorological drought and hydrological drought. Moreover, the relationships of drought characteristics (duration and severity) between these two types of drought were established by using run theory and mathematical function, and the trigger thresholds from meteorological to hydrological drought were then determined. The results indicate that: (a) the effective drought propagation rate was mainly affected by the characteristics of meteorological drought events and the sensitivity of hydrological drought to meteorological drought; (b) the DRT in the Pearl River Basin (PRB) was mainly concentrated in 2–5 months, and the drought translation rate in the PRB was relatively large; and (c) the duration of hydrological drought events was longer in the sub‐regions with smaller meteorological drought trigger thresholds.