Drought is the main abiotic stress that constrains sugarcane growth and production. To understand the molecular mechanisms that govern drought stress, we performed a comprehensive comparative analysis of physiological changes and transcriptome dynamics related to drought stress of highly drought-resistant (ROC22, cultivated genotype) and weakly drought-resistant (Badila, wild genotype) sugarcane, in a time-course experiment (0 h, 4 h, 8 h, 16 h and 32 h). Physiological examination reviewed that ROC22, which shows superior drought tolerance relative to Badila, has high performance photosynthesis and better anti-oxidation defenses under drought conditions. The time series dataset enabled the identification of important hubs and connections of gene expression networks. We identified 36,956 differentially expressed genes (DEGs) in response to drought stress. Of these, 15,871 DEGs were shared by the two genotypes, and 16,662 and 4423 DEGs were unique to ROC22 and Badila, respectively. Abscisic acid (ABA)-activated signaling pathway, response to water deprivation, response to salt stress and photosynthesis-related processes showed significant enrichment in the two genotypes under drought stress. At 4 h of drought stress, ROC22 had earlier stress signal transduction and specific up-regulation of the processes response to ABA, L-proline biosynthesis and MAPK signaling pathway–plant than Badila. WGCNA analysis used to compile a gene regulatory network for ROC22 and Badila leaves exposed to drought stress revealed important candidate genes, including several classical transcription factors: NAC87, JAMYB, bHLH84, NAC21/22, HOX24 and MYB102, which are related to some antioxidants and trehalose, and other genes. These results provide new insights and resources for future research and cultivation of drought-tolerant sugarcane varieties.