Drought has an important influence on the hydrological cycle, ecological system, industrial and agricultural production, and social life. Based on the different time scales of characteristics of drought variability, the standardized precipitation evapotranspiration index (SPEI), a multi-timescale index with consideration of evaporation, was used in this study to estimate the spatial and temporal variability characteristics of drought. Climatic data from 15 meteorological stations across Horqin Sandy Land during 1964-2013 were used to calculate the SPEI of 1, 3, 6, and 12 months. In order to examine the relationship between droughts and other variables, 10 extreme climate indices were calculated based on the daily precipitation and maximum/mean/minimum temperature data of 15 meteorological stations, and linkages between SPEI-12 and atmosphere indices were established using by the cross wavelet transform method. The results indicated that the climate of Horqin Sandy Land had a tendency towards drought conditions, which is particularly apparent from the year 2000 onwards. During the study period, drought events were frequent in the region. Mild drought occurred in a quarter of the month, with that of moderate, severe, and extreme drought accounting for 0.11, 0.05, and 0.02 of the total months. The spatial trend of multi-timescale drought revealed that there was an increase in the severity of drought throughout Horqin Sandy Land, among which the magnitude in southern parts was larger than that of northern parts. The results also showed that the short time scale drought negatively correlated with precipitation extremes and positively correlated with temperature extremes. Furthermore, the long time scale drought (SPEI-12) was associated with atmosphere indices. Significant resonance periods were found between El Nino southern oscillation (ENSO), the East Asian summer monsoon index (EASMI), and SPEI-12.