Drought is typically associated with a lack of precipitation, whereas the contribution of evapotranspiration and runoff to drought evolution is not well understood. Here we use unique long-term observations made in four headwater catchments in central and western Europe to reconstruct storage anomalies and study the drivers of storage anomaly evolution during drought. We provide observational evidence for the “drought-paradox” in that region: a consistent and significant increase in evapotranspiration during drought episodes, which acts to amplify the storage anomalies. In contrast, decreases in runoff act to limit storage anomalies. Our findings stress the need for the correct representation of evapotranspiration and runoff processes in drought indices.