We selected three typically annual herbaceous plants Bassia dasyphylla, Chloris virgata, and Setaria viridis as study subjects in a typical desert-oasis ecotone in the Hexi Corridor, and analyzed their responses under five drought gradients which included normal water supply (CK), light drought stress (5 d), moderate drought stress (10 d), severe drought stress (15 d), and re-watering after severe drought stress (15 d). The results showed that the annual herbaceous plants adapted to mild and moderate drought stress through physiological response (osmotic regulation), but through individual morphology for severe drought stress. Under mild and moderate drought conditions, the annual herbaceous plants maintained leaf osmotic pressure by regulating leaf osmoregulation substances proline, soluble protein and soluble sugar, and improved the water holding capacity. Meanwhile the chlorophyll content increased, so that the malondialdehyde content was maintained at a low level. Moreover, the root activity was enhanced, which effectively promoted the increase of the root water absorption. Under the severe drought condition, the function of osmoregulation substances decreased. The increase of malondialdehyde content caused the decrease of soluble protein content and the acceleration of chlorophyll decomposition. Thus, the plant growth was slow and the biomass was very limited. The annual herbaceous plants adapted to severe drought stress by elongating the root length, increased the ratio of root length and reduced the stem length. Under severe drought stress, the 100 seed weight and the seed number of the annual herbaceous plants also decreased significantly.