This study investigates the impacts of climate change and water management including agricultural irrigation, water withdrawal, and reservoir regulation on future meteorological, agricultural, and hydrological droughts and their connections. The analysis is based on the simulations from four global hydrological models forced with the projections from five global climate models for historical period 1971–2000 and future period 2070–2099 with and without water management. Three unified drought indices, the standardized precipitation index, standardized soil moisture index, and standardized streamflow index, are adopted to represent the meteorological, agricultural, and hydrological droughts, respectively. The analysis suggests that the climate‐induced drought changes in all three types of droughts are enhanced but in different directions, while water‐management‐induced changes in agricultural and hydrological droughts are more consistent across space and simulations. Overall, water management activities reduce both the duration and intensity of agricultural droughts by roughly 1 order of magnitude, while increase those of hydrological droughts by up to 50%. Basin‐scale analysis reveals that the higher is the intensity of irrigation, the larger will be the water‐management‐induced drought changes. Due to water management activities at some regions, the return periods of extreme agricultural droughts (in terms of severity) can change from 100 to 300 years or even longer, while typical 100‐year hydrological droughts are likely to occur more often for the regions located in 25°N–40°N and 15°S–50°S. This study provides a global view on drought modification in the Anthropocene, which will help improve adaptation strategies for future droughts.