Abstract: Deep understanding of transition probability behaviors of droughts is the key to real-time monitoring of droughts and also to enhancement of human mitigation to droughts. In this case, the transition probability matrix of the Markov chain is derived by the copula functions. Six drought status have been classified in the study, and a drought event with the severity not less than a certain drought status has been considered as a certain severe drought. Then the mean duration of a certain severe drought, the mean first passage time from any drought status to no drought status, and also the mean first passage time from no drought status to a certain severe drought were analyzed in this study. The results of this study indicate that: (1) the exceptional drought lasts about 1.5 months and the abnormally dry lasts about 3 months; (2) it takes about 3.5 months for the exceptional drought status to be recovered to no drought while about 1.7 months for the abnormally dry status to be recovered to no drought; and (3) generally, there is a moderate drought in 0.5 year, a severe drought in 1 years, an extreme drought in 1.5 years, and an exceptional drought in 3.5 years. Further, the results of this study indicate higher risk of drought in the southeast part of the Pearl River basin and these regions are densely populated and economically developed, especially in the Pearl River delta. In addition, the west part of the Pearl River basin has also been identified as a region with a higher risk of drought.