Combined with the standardized precipitation index, the standardized soil moisture index, the standardized groundwater index and the standardized ecological water shortage index, the comprehensive drought index CDI_E and CDI_C of Northwest China was constructed based on the entropy weight method and the correlation coefficient weight method. The correlation between CDI_E, CDI_C, standardized chlorophyll fluorescence index and self-calibrating Palmer drought severity index (scPDSI) was analyzed. Characterize the vegetation status and monitor the comprehensive drought, and select typical drought events for verification. The ability of CDI_ E、CDI_ C characterizing the vegetation status and monitoring the comprehensive drought was evaluated, and typical drought events were selected for verification. The comprehensive drought characteristics and three risk factors of exposure, vulnerability and resilience in Northwest China from 1986 to 2015 were analyzed by using the run theory. The comprehensive drought risk was calculated by the equal weight method, and the change trend of drought risk was analyzed according to the 10-year sliding window. The results show that CDI_C considers the response relationship between drought and vegetation, and has strong correlation with scPDSI, which can better reflect the comprehensive drought situation in Northwest China. CDI_C can monitor weather, agriculture, groundwater and ecological droughts at the same time, and the drought reflected is consistent with the actual situation. CDI_C shows that most areas in the Northwest China are getting wet during the study period. The occurrence frequency of comprehensive drought and the drought risk in arid and semi-arid regions such as Xinjiang and Qinghai is relatively high. The drought risk in each region is increasing first and then decreasing.