Sustainable crop production is the major challenge in the current global climate change scenario. Drought stress is one of the most critical abiotic factors which negatively impact crop productivity. In recent years, knowledge about molecular regulation has been generated to understand drought stress responses. For example, information obtained by transcriptome analysis has enhanced our knowledge and facilitated the identification of candidate genes which can be utilized for plant breeding. On the other hand, it becomes more and more evident that the translational and post-translational machinery plays a major role in stress adaptation, especially for immediate molecular processes during stress adaptation. Therefore, it is essential to measure protein levels and post-translational protein modifications to reveal information about stress inducible signal perception and transduction, translational activity and induced protein levels. This information cannot be revealed by genomic or transcriptomic analysis. Eventually, these processes will provide more direct insight into stress perception then genetic markers and might build a complementary basis for future marker-assisted selection of drought resistance. In this review, we survey the role of proteomic studies to illustrate their applications in crop stress adaptation analysis with respect to productivity. Cereal crops such as wheat, rice, maize, barley, sorghum and pearl millet are discussed in detail. We provide a comprehensive and comparative overview of all detected protein changes involved in drought stress in these crops and have summarized existing knowledge into a proposed scheme of drought response. Based on a recent proteome study of pearl millet under drought stress we compare our findings with wheat proteomes and another recent study which defined genetic marker in pearl millet.