Water availability (WA) is a key factor influencing the carbon cycle of terrestrial ecosystems under climate warming, but its effects on gross primary production (EWA‐GPP) at multiple time scales are poorly understood. We used ensemble empirical mode decomposition (EEMD) and partial correlation analysis to assess the WA‐GPP relationship (RWA‐GPP) at different time scales, and geographically weighted regression (GWR) to analyze their temporal dynamics from 1982 to 2018 with multiple GPP datasets, including near‐infrared radiance of vegetation GPP, FLUXCOM GPP, and eddy covariance–light‐use efficiency GPP. We found that the 3‐ and 7‐year time scales dominated global WA variability (61.18% and 11.95%), followed by the 17‐ and 40‐year time scales (7.28% and 8.23%). The long‐term trend also influenced 10.83% of the regions, mainly in humid areas. We found consistent spatiotemporal patterns of the EWA‐GPP and RWA‐GPP with different source products: In high‐latitude regions, RWA‐GPP changed from negative to positive as the time scale increased, while the opposite occurred in mid‐low latitudes. Forests had weak RWA‐GPP at all time scales, shrublands showed negative RWA‐GPP at long time scales, and grassland (GL) showed a positive RWA‐GPP at short time scales. Globally, the EWA‐GPP, whether positive or negative, enhanced significantly at 3‐, 7‐, and 17‐year time scales. For arid and humid zones, the semi‐arid and sub‐humid zones experienced a faster increase in the positive EWA‐GPP, whereas the humid zones experienced a faster increase in the negative EWA‐GPP. At the ecosystem types, the positive EWA‐GPP at a 3‐year time scale increased faster in GL, deciduous broadleaf forest, and savanna (SA), whereas the negative EWA‐GPP at other time scales increased faster in evergreen needleleaf forest, woody savannas, and SA. Our study reveals the complex and dynamic EWA‐GPP at multiple time scales, which provides a new perspective for understanding the responses of terrestrial ecosystems to climate change.