Drought is an important environmental stress limiting crop production mainly in arid and semiarid environments of the world. The scope and intensity of drought is expected to exacerbate with the looming global climate change. Pearl millet is one of the cereal crops adapted to dry and hot climates. It is predominantly grown in Africa and Indian subcontinent and has a dual-purpose, grain for human consumption and fodder for animals. However, there is limited and scattered information on pearl millet response to drought stress at various growth stages, on physiology of yield formation under drought stress, and target traits that are paramount for further genetic improvement of the crop for drought tolerance. In this article, we reviewed and discoursed the advancements in conventional breeding, progress in genomic resources development and application, high-throughput phenotyping, and the strategic use of genetic resources that can further enhance the development and delivery of high-yielding and drought-tolerant pearl millet cultivars. The comprehensive information presented herein serve as a reference for scientists studying different drought tolerance features of pearl millet.