Drought is a prolonged period of low precipitation that negatively impacts agriculture, animals, and people. Over the last decades, gradual changes in drought indices have been observed. Therefore, understanding and forecasting drought is essential to avoid its economic impacts and appropriate water resource planning and management. This paper presents a recent literature review, including a brief description of data pre-processing, data-driven modelling strategies (i.e., univariate or multivariate), machine learning algorithms (i.e., advantages and disadvantages), hybrid models, and performance metrics. Combining various prediction methods to create efficient hybrid models has become the most popular use in recent years. Accordingly, hybrid models have been increasingly used for predicting drought. As such, these models will be extensively reviewed, including preprocessing-based hybrid models, parameter optimisation-based hybrid models, and hybridisation of components combination-based with preprocessing-based hybrid models. In addition, using statistical criteria, such as RMSE, MAE, NSE, MPE, SI, BIC, AIC, and AAD, is essential to evaluate the performance of the models.