The nature of vulnerability to agricultural drought in three study blocks of Bolangir district in western Orissa has been analysed. The indexing and vulnerability profile method have been used for assessing the nature of drought vulnerability, coping capacity and risk. The study has revealed that the three most influential biophysical factors of drought vulnerability are: rainfall variability, drought intensity and shortage of available waterholding capacity of soil and the three most influential socioeconomic factors are: low irrigation development, poor crop insurance coverage and smaller forest area. It is found that while drought risk varies widely across the study blocks and drought vulnerability and physical exposure to drought vary moderately, the coping capacity of study blocks differ marginally. However, the level of coping capacity has been found significantly lower than the level of drought risk and vulnerability in the study blocks.