A persistent precipitation deficiency (meteorological drought) could spread to surface water bodies and produce a hydrological drought. Meteorological and hydrological droughts are thus closely related, even though they are separated by a time lag. For this reason, it is paramount for water resource planning and for drought risk analysis to study the connection between these two types of drought. With this aim, in this study, both meteorological and hydrological drought were analyzed in the Wadi Ouahrane Basin (Northwest Algeria). In particular, data from six rainfall stations and one hydrometric station for the period 1972–2018 were used to evaluate the Standardized Precipitation Index (SPI) and the Standardized Runoff Index (SRI) at multiple timescales (1, 2, 3, 4, …, 12 months). By means of a copula function, the conditional return period for both types of drought was evaluated. Results evidenced that runoff is characterized by high level of temporal correlation in comparison to rainfall. Moreover, the composite index JDHMI (Joint Deficit Hydro-meteorological Index) was evaluated. This index is able to reflect the simultaneous hydrological and meteorological behavior at different timescales of 1–12 months well and can present the probability of a common hydrological and meteorological deficit situation more accurately and realistically compared to precipitation or runoff-based indicators. It was found that, over the analyzed basin, the average severity of combined hydro-meteorological drought (JDHMI) was 10.19, with a duration of 9 months and a magnitude of 0.93.