Pearl millet [ (L.) R. Br.] is a C crop cultivated for its grain and stover in crop-livestock-based rain-fed farming systems of tropics and subtropics in the Indian subcontinent and sub-Saharan Africa. The intensity of drought is predicted to further exacerbate because of looming climate change, necessitating greater focus on pearl millet breeding for drought tolerance. The nature of drought in different target populations of pearl millet-growing environments (TPEs) is highly variable in its timing, intensity, and duration. Pearl millet response to drought in various growth stages has been studied comprehensively. Dissection of drought tolerance physiology and phenology has helped in understanding the yield formation process under drought conditions. The overall understanding of TPEs and differential sensitivity of various growth stages to water stress helped to identify target traits for manipulation through breeding for drought tolerance. Recent advancement in high-throughput phenotyping platforms has made it more realistic to screen large populations/germplasm for drought-adaptive traits. The role of adapted germplasm has been emphasized for drought breeding, as the measured performance under drought stress is largely an outcome of adaptation to stress environments. Hybridization of adapted landraces with selected elite genetic material has been stated to amalgamate adaptation and productivity. Substantial progress has been made in the development of genomic resources that have been used to explore genetic diversity, linkage mapping (QTLs), marker-trait association (MTA), and genomic selection (GS) in pearl millet. High-throughput genotyping (HTPG) platforms are now available at a low cost, offering enormous opportunities to apply markers assisted selection (MAS) in conventional breeding programs targeting drought tolerance. Next-generation sequencing (NGS) technology, micro-environmental modeling, and pearl millet whole genome re-sequence information covering circa 1,000 wild and cultivated accessions have helped to greater understand germplasm, genomes, candidate genes, and markers. Their application in molecular breeding would lead to the development of high-yielding and drought-tolerant pearl millet cultivars. This review examines how the strategic use of genetic resources, modern genomics, molecular biology, and shuttle breeding can further enhance the development and delivery of drought-tolerant cultivars.