Drought is one of the major threats to water and food security in many regions around the world. The present study focuses on the evaluation of agricultural drought risk from an integrated perspective, that is, emphasizing the combined role of hazard, exposure, and vulnerability to drought. For this purpose, we used the Mexican state of Zacatecas as a case study. This state is one of the most vulnerable to the adverse effects of agricultural drought in the country. The proposed method includes three stages: first, we analyzed the risk of agricultural drought at the municipal scale using the FAO Agricultural Stress Index System (ASIS) in its country version (Country-Level ASIS) and also determined a Drought Hazard Index (DHI). Subsequently, we conducted a municipal assessment of exposure and vulnerability to drought based on a set of socioeconomic and environmental indicators, which we combined using an analytical procedure to generate the Drought Exposure Index (DEI) and the Drought Vulnerability Index (DVI). Finally, we determined a Drought Risk Index (DRI) based on a weighted addition of the hazard, exposure, and vulnerability indices. Results showed that 32% of the state’s municipalities are at high and very high risk of agricultural drought; these municipalities are located mainly in the center and north of the state, where 75.8% of agriculture is rainfed, 63.6% of production units are located, and 67.4% of the state’s population depends on agricultural activity. These results are in general agreement with those obtained by other studies analyzing drought in the state of Zacatecas using different meteorological drought indices, and the results are also largely in line with official data on agricultural surfaces affected by drought in this state. The generated maps can help stakeholders and public policymakers to guide investments and actions aimed at reducing vulnerability to and risk of agricultural drought. The method described can also be applied to other Mexican states or adapted for use in other states or countries around the world.