Drought is currently a major constraint to soybean [Glycine max (L.) Merr.] production worldwide and is becoming more widespread due to increased aridity and warmer temperatures in the context of global climate change. In this context, breeding for soybean varieties more tolerant to drought stress is critical and requires efficient screening techniques. To find traits associated with drought tolerance at the vegetative stage that are still present at the reproductive stage, we evaluated morphological, physiological, and biochemical traits in two soybean genotypes contrasting in their response to drought stress. Under drought stress at the vegetative stage, the tolerant A 5009 RG genotype showed higher proline and chlorophyll contents, and early activation of the enzymatic antioxidant system compared with well‐watered plants. On the other hand, the sensitive ADM 50048 genotype increased malondialdehyde (oxidative damage marker) and nonenzymatic antioxidant response under stress. Manipulative field assays under contrasting levels of water availability at the reproductive stage mimicked the biochemical patterns observed in the greenhouse tests for the sensitive and tolerant genotypes. A principal component analysis of parameters from vegetative and reproductive stages revealed proline and chlorophyll contents as drought tolerance traits in soybean. We found those traits useful to classify 14 genotypes from the Instituto Nacional de Tecnologia Agropecuaria (INTA) germplasm bank, identifying two new drought‐tolerant genotypes (PI 548510 and PI 200492). We propose proline and chlorophylls as useful tools to classify soybean genotypes according to their drought responses in early developmental stages, potentially reducing breeding times.