Quantitatively assessing the impacts of drought on grassland has significant implications to understand the degradation mechanism and prevention degraded grassland. In this study, we analyzed the relationship between grassland drought and grassland Net Primary Productivity (NPP) based on the self-calibrated Palmer Drought Severity Index (scPDSI) from 1982 to 2008. The results showed that the global grassland scPDSI value had a slightly increasing trend with the rate of 0.0119 per year (R2 = 0.195), indicating that the global grassland drought lighter to some extent during study period. Moreover, the correlation coefficient between annual grassland NPP and scPDSI was from −0.83 to 0.92. The grassland NPP decreased under mild drought from 1992 to 1996. Additionally, the correlation coefficient between scPDSI and NPP for each grassland type was: Closed Shrublands > Non-woody grassland > Savannas > Open Shrublands > Woody Savannas, indicating that drought had difference influences on the different grassland types. Our results might provide the underlying insights needed to be guide for the effects of extreme weather events on grassland NPP.