Pitaya (Hylocereus polyrhizus L.) is highly tolerant to drought stress. Elucidating the response mechanism of pitaya to drought will substantially contribute to improving crop drought tolerance. In the present study, the physiological and proteomic responses of the pitaya cultivar ‘Zihonglong’ were compared between control seedlings and seedlings exposed to drought stress (−4.9 MPa) induced by polyethylene glycol for 7 days. Drought stress obviously enhanced osmolyte accumulation, lipid peroxidation, and antioxidant enzyme activities. Proteomic data revealed drought stress activated several pathways in pitaya, including carbohydrate and energy metabolism at two drought stress treatment time-points (6 h and 3 days). Other metabolic pathways, including those related to aspartate, glutamate, glutathione, and secondary metabolites, were induced more at 3 days than at 6 h, whereas photosynthesis and arginine metabolism were induced exclusively at 6 h. Overall, protein expression changes were consistent with the physiological responses, although there were some differences in the timing. The increases in soluble sugar contents mainly resulted from the degradation and transformation of insoluble carbohydrates. Differentially accumulated proteins in amino acid metabolism may be important for the conversion and accumulation of amino acids. GSH and AsA metabolism and secondary metabolism may play important roles in pitaya as enzymatic and nonenzymatic antioxidant systems. The enhanced carbohydrate and energy metabolism may provide the energy necessary for initiating the above metabolic pathways. The current study provided the first proteome profile of this species exposed to drought stress, and may clarify the mechanisms underlying the considerable tolerance of pitaya to drought stress.