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As a common natural disaster, drought can significantly affect the agriculture productivity and human life. Compared to Southeast China, Northwest China is short of water year-round and is the most frequent drought disaster area in China. Currently, there are still many controversial issues in drought monitoring of Northwest China in recent decades. To further understand the causes of changes in drought in Northwest China, we chose Shaanxi, Gansu, and Ningxia provinces (SGN) as our study area. We compared the spatiotemporal characteristics of drought intensity and frequency in Northwest China from 2003 to 2020 showed by the Standardized Precipitation Index (SPI), Vegetation Condition Index (VCI), Temperature Condition Index (TCI), Vegetation Health Index (VHI), Normalized Vegetation Supply Water Index (NVSWI), Soil Moisture Condition Index (SMCI), and Soil Moisture Agricultural Drought Index (SMADI). All of these indices showed a wetting trend in the SGN area from 2003 to 2020. The wetting trend of the VCI characterization is the most obvious (R2 = 0.9606, p < 0.05): During the period 2003–2020, the annual average value of the VCI in the SGN region increased from 28.33 to 71.61, with a growth rate of 153.57%. The TCI showed the weakest trend of wetting (R2 = 0.0087), with little change in the annual average value in the SGN region. The results of the Mann–Kendall trend test of the TCI indicated that the SGN region experienced a non-significant (p > 0.05) wetting trend between 2003 and 2020. To explore the effectiveness of different drought indices, we analyzed the Pearson correlation between each drought index and the Palmer Drought Severity Index (PDSI). The PDSI can not only consider the current water supply and demand situation but also consider the impact of the previous dry and wet conditions and their duration on the current drought situation. Using the PDSI as a reference, we can effectively verify the performance of each drought index. SPI-12 showed the best correlation with PDSI, with R values greater than 0.6 in almost all regions and p values less than 0.05 within one-half of the study area. SMADI had the weakest correlation with PDSI, with R values ranging −0.4~−0.2 and p values greater than 0.05 in almost all regions. The results of this study clarified the wetting trend in the SGN region from 2003 to 2020 and effectively analyzed the differences in each drought index. The frequency, duration, and severity of drought are continuously reduced; this helps us to have a more comprehensive understanding of the changes in recent decades and is of significance for the in-depth study of drought disasters in the future. [ABSTRACT FROM AUTHOR]