Drought is a complex natural hazard caused by a combination of atmospheric and hydrological processes. Many different drought indicators have been developed, with each indicator varying in its calculation and its focus on different types of drought (e.g., meteorological, agricultural, hydrological, socioeconomic , etc.). Despite this, drought still remains poorly understood. The objective of this study is to compare different drought indicators and highlight their similarities, differences, strengths and weaknesses. To do this, 11 drought indicators were calculated for different parts of Australia, a country that is prone to droughts. Three periods of major drought including the Federation drought (1895-1902), World War II drought (1937-1945), and the Millennium drought (1997-2010) were examined in detail. The results demonstrate that different indicators say very different things about the onset, severity, and end of drought conditions for a given location or area. This is especially the case for drought indicators that use precipitation as their only input and highlights that drought is more than just a lack of rainfall. Further, the use of varying temporal resolution in the calculated drought indicators also leads to large differences in the quantification of drought persistence. Our ability to manage the impact of drought on society and the environment is dependent on our ability to successfully identify and characterize drought. As such, it is important to understand sensitivities and uncertainties associated with: (a) the choice of drought indicator(s) and (b) the choice of time step used to calculate the drought indicator(s). To properly characterize drought, and to successfully quantify and manage the environmental and socioeconomic impacts of drought, the drought indicators employed must realistically capture all the different types of drought and how they evolve.