This paper analyses the nature of drought vulnerability, residual risk and coping capacity at regional level by using block and district level data for Bolangir district of western Odisha, India which is distinctly experiencing changes in local climate. The paper used indexing and vulnerability profile method for assessing the nature of drought vulnerability, coping capacity and risk. The study reveals that the three most influential biophysical factors of drought vulnerability for Bolangir district are rainfall variability, land slope and drought intensity and the three most influential socioeconomic factors are low irrigation development, low crop insurance coverage and smaller forest area. It is found that while drought risk varies widely across the blocks and drought vulnerability and physical exposure to drought vary moderately, the coping capacity of different blocks differ marginally. However, the level of coping capacity is considerably lower than the level of drought risk and vulnerability in the study blocks.