The environmental impact and economic loss caused by drought has been an impediment to the sustainable development of local areas. Carrying out drought vulnerability assessment is an indispensable part of sustainable development assessment. However, there are few research results on the coupled drought vulnerability of nature, society and economy at the municipal administrative scale in the province or autonomous region. Based on the drought vulnerability assessment model proposed by IPCC, 19 indicators were selected from three dimensions (exposure, sensitivity and adaptive capacity) to build an indicator system to evaluate the drought vulnerability of 12 leagues and cities in Inner Mongolia. Data was collected from Inner Mongolia Statistical Yearbooks and Inner Mongolia Water Resources Bulletin. Evapotranspiration (ET) was provided in the MOD16A2 product and precipitation (P) was provided by China Meteorological Data Service Center. The entropy method is used to determine the weight of each indicator, and the comprehensive index method and systematic classification method are used to calculate and classify the drought vulnerability index. The main outputs of this empirical analysis include vulnerability index scores, class, and maps that illustrate differences in geographical and social characteristics across Inner Mongolia. The results show that the drought vulnerability of the Inner Mongolia Autonomous Region presents a decreasing trend from east to west. The proportion of primary industry GDP, per capita disposable income and proportion of primary industry employees have high correlation with drought vulnerability. The main contributors to drought vulnerability in the cities are population and manpower factors, ecological and water resources factors. Reducing drought vulnerability in the Inner Mongolia Autonomous Region can be achieved by strengthening the protection and construction of grasslands, rationally planning the construction of cities, reducing the concentration of the population, adjusting the industrial structure, providing more non-agricultural and pastoral jobs, strengthening vocational skills training, improving financial services, medical services and other aspects, so as to promote the sustainable development of natural environment and socio-economics in dryland.