We report the impact of drought stress on pearl millet during the early seedling stage and its survival mechanism. Drought stress imposed for a period of 7, 14 and 21 days showed considerable changes in morphophysiological attributes, which were evident by a decline in seedling elongation, fresh and dry biomass, and relative water content (RWC) and degradation of chlorophyll pigment. Besides this, visible chlorosis lesions were observed in leaves as compared to the control. As compared to the respective controls, a nearly 60% decline in chlorophyll content was recorded after 14 and 21 days of drought stress. In both root and shoot, drought stress raised the reactive oxygen species (ROS) levels. Both H2O2 and O2●− levels were significantly elevated along with a significant increase in lipid peroxidation in both roots and shoots, which clearly indicated ROS-induced oxidative stress. Concomitant with the increase in ROS levels and malondialdehyde (MDA) content in roots, membrane integrity was also lost, which clearly indicated ROS-induced peroxidation of membrane lipids. The activities of antioxidant enzymes and levels of non-enzymatic antioxidants were significant (p ≤ 0.001). After 7, 14 and 21 days of drought stress, activities of all the antioxidant enzymes viz., catalase (CAT), guaiacol peroxidase (GPX), superoxide dismutase (SOD) and glutathione reductase (GR) were inhibited, clearly indicating a loss of antioxidant defense machinery. Likewise, the levels of ascorbate (AsA) and reduced glutathione (GSH) levels declined significantly (p ≤ 0.01). Our results reveal that, being tolerant to arid climatic conditions, pearl millet is highly susceptible to drought stress at the early seedling stage.