Drought is a major threat to global agricultural production that limits the growth, development and survival rate of plants, leading to tremendous losses in yield. Pearl millet (Cenchrus americanus (L.) Morrone) has an excellent drought tolerance, and is an ideal plant material for studying the drought resistance of cereal crops. The roots are crucial organs of plants that experience drought stress, and the roots can sense and respond to such conditions. In this study, we explored the mechanism of drought tolerance of pearl millet by comparing transcriptomic data under normal conditions and drought treatment at four time points (24 h, 48 h, 96 h, and 144 h) in the roots during the seedling stage. A total of 1297, 2814, 7401, and 14,480 differentially expressed genes (DEGs) were found at 24 h, 48 h, 96 h, and 144 h, respectively. Based on Kyoto Encyclopedia of Genes and Genomes and Gene Ontology enrichment analyses, we found that many DEGs participated in plant hormone-related signaling pathways and the “oxidoreductase activity” pathway. These results should provide a theoretical basis to enhance drought resistance in other plant species.