Drought stress poses significant productivity challenges to wheat. Several studies suggest that lower malondialdehyde (MDA) content may be a promising trait to identify drought-tolerant wheat genotypes. However, the optimal polyethylene glycol (PEG-6000) concentration for screening seedlings for drought tolerance based on MDA quantification is not clear. The aim of this study was to verify whether a 10% (w/v) PEG-6000 concentration-induced water stress was reliable for discriminating between twenty-two drought-susceptible and drought-tolerant tetraploid wheat (Triticum turgidum spp. durum, turanicum, and carthlicum) accessions based on MDA quantification. To do so, its correlation with morpho-physiological traits, notoriously related to seedling drought tolerance, i.e., Seedling Vigour Index and Seedling Water Content, was evaluated. Results showed that MDA content was not a reliable biomarker for drought tolerance, as it did not correlate significantly with the aforementioned morpho-physiological traits, which showed, on the contrary, high positive correlation with each other. Combining our study with the cited literature, it clearly emerges that different wheat genotypes have different “water stress thresholds”, highlighting that using a 10% PEG-6000 concentration for screening wheat seedlings for drought tolerance based on MDA quantification is not reliable. Given the conflicting results in the literature, this study provides important insights for selecting appropriate methods for evaluating wheat seedling drought tolerance.