This paper investigates the impact of climate change on drought by addressing two questions: (1) How reliable is the assessment of climate change impact on drought based on state-of-the-art climate change projections and downscaling techniques? and (2) Will the impact be at the same level from meteorological, agricultural, and hydrologic perspectives? Regional climate change projections based on dynamical downscaling through regional climate models (RCMs) are used to assess drought frequency, intensity, and duration, and the impact propagation from meteorological to agricultural to hydrological systems. The impact on a meteorological drought index (standardized precipitation index, SPI) is first assessed on the basis of daily climate inputs from RCMs driven by three general circulation models (GCMs). Two periods and two emission scenarios, i.e., 1991–2000 and 2091–2100 under B1 and A1Fi for Parallel Climate Model (PCM), 1990–1999 and 2090–2099 under A1B and A1Fi for Community Climate System Model, version 3.0 (CCSM3), 1980–1989 and 2090–2099 under B2 and A2 for Hadley Centre CGCM (HadCM3), are undertaken and dynamically downscaled through the RCMs. The climate projections are fed to a calibrated hydro-agronomic model at the watershed scale in Central Illinois, and agricultural drought indexed by the standardized soil water index (SSWI) and hydrological drought by the standardized runoff index (SRI) and crop yield impacts are assessed. SSWI, in particular with extreme droughts, is more sensitive to climate change than either SPI or SRI. The climate change impact on drought in terms of intensity, frequency, and duration grows from meteorological to agricultural to hydrological drought, especially for CCSM3-RCM. Significant changes of SSWI and SRI are found because of the temperature increase and precipitation decrease during the crop season, as well as the nonlinear hydrological response to precipitation and temperature change.