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Drought is a natural phenomenon caused by a shortage of water resources and has a great impact on agriculture, the economy, and the environment. To study the Spatio-temporal distribution and explore the zonal patterns of drought, this paper took the Yunnan-Guizhou Plateau (YGP) as the research region, selected the air temperature, relative humidity, sunshine duration, wind speed, and precipitation data from 47 meteorological stations on the YGP. First, the standardized precipitation evapotranspiration index (SPEI) was calculated, and then the Spatio-temporal distribution of YGP drought was analyzed with the SPEI, Mann–Kendall test, and principal component analysis (PCA). Finally, the correlations between the average SPEI, drought characteristics extracted from the SPEI, and longitude/elevation/latitude were analyzed with the linear regression method, and then the zonal patterns of the YGP drought were obtained. The results revealed that the annual and seasonal SPEI values mainly decreased. Because the first component of the SPEI (the largest eigenvalue makes it the most important component) in annual and winter had a poor relationship with longitude/elevation, its correlation was weak, while the average SPEI values in other seasons were significantly correlated with longitude/elevation (α = 0.001), and the absolute value of the correlation coefficient was between 0.6879–0.9453. Except for PC1 in annual and winter, PC1 and PC2 were significantly correlated with longitude/elevation (α = 0.001), and the absolute value of the correlation coefficient was between 0.5087–0.9501. The duration, severity, intensity, frequency of drought were significantly correlated with longitude/elevation (α = 0.001) in most situations. The average SPEI values and drought characteristics showed a good multivariate linear correlation with longitude, latitude, and elevation, indicating that drought exhibited strong zonal patterns. This study will provide new ideas for drought research and technical support for regional industrial layouts, planting structure adjustments, and drought and disaster reduction.