In this study, wet and dry periods were analysed using the Standardized Precipitation Index (SPI) on timescales of 1, 3, 6 and 12 months (SPI1, SPI3, SPI6 and SPI12) at ten stations in Serbia during the period 1949–2011. The onset of severe wetness and drought during the period 1999–2001 was presented. The distributions of the monthly precipitation amounts for each station were modelled by a gamma distribution. The severity and duration of the wet and dry periods were calculated. The generalized Pareto distribution (GPD) was applied to the SPI values for the timescales of 1 and 12 months during the period 1936–2011 in Belgrade. Furthermore, the severity and duration of the wet and dry periods for timescales of 1 and 12 months were analysed using the extreme value theory. Using the time series of the SPI, it was found that the frequency of droughts in the southern part of Serbia was higher than in the other parts of the country. The obtained results indicated that the GPD could be an appropriate distribution for SPI values less than −1 at the 1- and 12-month timescales, and for the severity of the wet and dry periods at the 1-month timescale.