In global climate models, CO2-driven warming causes strong and very widespread mean drying trends in climatic wetness indices like the Palmer Drought Severity Index, Aridity Index and Standardized Precipitation-Evapotranspiration Index. Yet, these same simulations also predict that runoff will not decline over most of Earth’s surface, that root-zone soil moisture and evaporative fraction will decline only regionally, and that vegetation will become broadly greener. Thus, actual drought impacts of warming in these models are far less broad and severe than implied by the drought indices. Here, I probe why this “index-impact gap” occurs, and whether it is a feature of reality as well as models. In particular, I show that the discrepancies are not just limited to simulations which assume a substantial direct CO2 effect on vegetation, but are also large in greenhouse-only simulations, implying that they occur for fundamental climatic reasons rather than via CO2-physiological pathways. I also review key observational evidence that the index-impact gap has also been large over the historical era and was very evident for the last glacial-to-interglacial warming, lending much additional credence to the model output.