In this study, the authors provide a global assessment of the performance of different drought indices for monitoring drought impacts on several hydrological, agricultural, and ecological response variables. For this purpose, they compare the performance of several drought indices [the standardized precipitation index (SPI); four versions of the Palmer drought severity index (PDSI); and the standardized precipitation evapotranspiration index (SPEI)] to predict changes in streamflow, soil moisture, forest growth, and crop yield. The authors found a superior capability of the SPEI and the SPI drought indices, which are calculated on different time scales than the Palmer indices to capture the drought impacts on the aforementioned hydrological, agricultural, and ecological variables. They detected small differences in the comparative performance of the SPI and the SPEI indices, but the SPEI was the drought index that best captured the responses of the assessed variables to drought in summer, the season in which more drought-related impacts are recorded and in which drought monitoring is critical. Hence, the SPEI shows improved capability to identify drought impacts as compared with the SPI. In conclusion, it seems reasonable to recommend the use of the SPEI if the responses of the variables of interest to drought are not known a priori.