Accurate assessment of agricultural drought risk is of strategic significance to ensure future grain production security in the main grain production areas of China. Agricultural drought risk assessment is based on drought vulnerability characteristics. In this study, firstly the drought thresholds were redefined by correlation analysis of drought strength based on the Standardized Precipitation Evapotranspiration Index (SPEI) and drought damage rates, then the information distribution and the two-dimensional normal information diffusion method were employed to establish the vulnerability curve between drought strength and drought damage rates. Finally, provincial drought risks and the conditional probabilities at different drought damage stages were obtained. The results show that the drought vulnerability curve was nonlinear. With the increase of drought strength, drought damage rates increased rapidly at the beginning, and after a small fluctuation locally, they no longer increased significantly and tended to be relative stable. The occurrence probabilities of agricultural drought risk presented great spatial differences, with the characteristics of high in the northern, moderate in the central and southwestern part, and lower in the southeastern provinces in the main grain production areas of China. The analysis of conditional probability showed that Hubei, Henan, and Jiangxi were the provinces most prone to drought-affected risk under the drought-induced condition; while Liaoning, Hunan, and Inner Mongolia were the ones most prone to lost harvest risk under the drought-induced or the drought-affected condition. The results could be used to provide guidance for drought risk management and to formulate appropriate plans by the relevant departments.